Algorithmic Trading Model for Exponential Moving Average Crossover Grid Search¶
Task 1. Prepare Environment¶
In [1]:
import os
import sys
import numpy as np
import pandas as pd
import requests
import json
import matplotlib.pyplot as plt
from datetime import datetime, timedelta
In [2]:
stock_symbol = 'NFLX'
initial_capital = 0
# Specify the parameters for the trading strategy
fast_ma_min = 5
fast_ma_max = 20
slow_ma_min = 10
slow_ma_max = 50
ma_increment = 5
min_ma_gap = 5
model_start_date = datetime(2019, 1, 1)
print("Starting date for the model:", model_start_date)
stock_start_date = model_start_date - timedelta(days=int(slow_ma_max*1.5)) # Need more pricing data to calculate moving averages
model_end_date = datetime.now()
# model_end_date = datetime(2020, 6, 30)
print("Ending date for the model:", model_end_date)
Starting date for the model: 2019-01-01 00:00:00 Ending date for the model: 2020-07-01 22:53:02.968515
In [3]:
# Begin the timer for the script processing
startTimeScript = datetime.now()
# Set up the verbose flag to print detailed messages for debugging (setting True will activate!)
verbose = True
# Set up the sendNotification flag to send progress emails (setting True will send emails!)
notifyStatus = False
# Set up the parent directory location for loading the dotenv files
useColab = False
if useColab:
# Mount Google Drive locally for storing files
from dotenv import load_dotenv
from google.colab import drive
drive.mount('/content/gdrive')
gdrivePrefix = '/content/gdrive/My Drive/Colab_Downloads/'
env_path = '/content/gdrive/My Drive/Colab Notebooks/'
dotenv_path = env_path + "python_script.env"
load_dotenv(dotenv_path=dotenv_path)
# Set up the dotenv file for retrieving environment variables
useLocalPC = False
if useLocalPC:
from dotenv import load_dotenv
env_path = "/Users/david/PycharmProjects/"
dotenv_path = env_path + "python_script.env"
load_dotenv(dotenv_path=dotenv_path)
# Configure the plotting style
plt.style.use('seaborn')
# Set Pandas options
pd.set_option("display.max_rows", None)
pd.set_option("display.max_columns", None)
# pd.set_option("display.width", 140)
Task 2. Acquire and Pre-Process Data¶
In [4]:
# Check and see whether the API key is available
quandl_key = os.environ.get('QUANDL_API')
if quandl_key is None: sys.exit("API key for Quandl not available. Script Processing Aborted!!!")
In [5]:
start_date_string = stock_start_date.strftime('%Y-%m-%d')
end_date_string = model_end_date.strftime('%Y-%m-%d')
quandl_url = "https://www.quandl.com/api/v3/datatables/SHARADAR/SEP.json?date.gte=%s&date.lte=%s&ticker=%s&api_key=%s" % (start_date_string, end_date_string, stock_symbol, quandl_key)
In [6]:
response = requests.get(quandl_url)
quandl_dict = json.loads(response.text)
stock_quandl = pd.DataFrame(quandl_dict['datatable']['data'])
print(len(stock_quandl), 'data points retrieved from the API call.')
428 data points retrieved from the API call.
In [7]:
stock_quandl.columns = ['ticker', 'date', 'open', 'high', 'low', 'close', 'volume', 'dividend', 'closeunadj', 'lastupdated']
# stock_quandl.set_index('date', inplace=True)
stock_quandl.index = pd.to_datetime(stock_quandl.date)
stock_quandl = stock_quandl.sort_index(ascending = True)
stock_quandl.info(verbose=True)
<class 'pandas.core.frame.DataFrame'> DatetimeIndex: 428 entries, 2018-10-18 to 2020-07-01 Data columns (total 10 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 ticker 428 non-null object 1 date 428 non-null object 2 open 428 non-null float64 3 high 428 non-null float64 4 low 428 non-null float64 5 close 428 non-null float64 6 volume 428 non-null float64 7 dividend 428 non-null float64 8 closeunadj 428 non-null float64 9 lastupdated 428 non-null object dtypes: float64(7), object(3) memory usage: 36.8+ KB
In [8]:
stock_quandl.head()
Out[8]:
| ticker | date | open | high | low | close | volume | dividend | closeunadj | lastupdated | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2018-10-18 | NFLX | 2018-10-18 | 360.673 | 362.20 | 346.05 | 346.71 | 18461040.0 | 0.0 | 346.71 | 2020-05-01 |
| 2018-10-19 | NFLX | 2018-10-19 | 351.000 | 355.80 | 332.20 | 332.67 | 16717233.0 | 0.0 | 332.67 | 2020-05-01 |
| 2018-10-22 | NFLX | 2018-10-22 | 333.100 | 335.80 | 320.34 | 329.54 | 17097175.0 | 0.0 | 329.54 | 2020-05-01 |
| 2018-10-23 | NFLX | 2018-10-23 | 318.000 | 336.58 | 316.77 | 333.16 | 14907326.0 | 0.0 | 333.16 | 2020-05-01 |
| 2018-10-24 | NFLX | 2018-10-24 | 332.280 | 333.00 | 300.73 | 301.83 | 19039297.0 | 0.0 | 301.83 | 2020-05-01 |
In [9]:
stock_quandl.tail()
Out[9]:
| ticker | date | open | high | low | close | volume | dividend | closeunadj | lastupdated | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2020-06-25 | NFLX | 2020-06-25 | 458.86 | 467.01 | 454.00 | 465.91 | 3938090.0 | 0.0 | 465.91 | 2020-06-25 |
| 2020-06-26 | NFLX | 2020-06-26 | 466.39 | 468.03 | 442.24 | 443.40 | 6804726.0 | 0.0 | 443.40 | 2020-06-26 |
| 2020-06-29 | NFLX | 2020-06-29 | 445.23 | 447.67 | 432.14 | 447.24 | 4828402.0 | 0.0 | 447.24 | 2020-06-30 |
| 2020-06-30 | NFLX | 2020-06-30 | 450.02 | 457.59 | 447.00 | 455.04 | 4167187.0 | 0.0 | 455.04 | 2020-06-30 |
| 2020-07-01 | NFLX | 2020-07-01 | 454.00 | 488.23 | 454.00 | 485.64 | 9656467.0 | 0.0 | 485.64 | 2020-07-01 |
In [10]:
title_string = 'Quandl Historical Stock Information for ' + stock_symbol
stock_quandl['close'].plot(figsize=(16,9), title=title_string)
plt.show()
Task 3. Develop Strategy and Train Model¶
3.a) Set up the Dataframe for the Trading Model¶
In [11]:
# Set up the standard column name for modeling
model_template = stock_quandl.loc[:, ['open','close']]
model_template.rename(columns={'open': 'open_price', 'close': 'close_price'}, inplace=True)
if verbose: model_template.info(verbose=True)
<class 'pandas.core.frame.DataFrame'> DatetimeIndex: 428 entries, 2018-10-18 to 2020-07-01 Data columns (total 2 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 open_price 428 non-null float64 1 close_price 428 non-null float64 dtypes: float64(2) memory usage: 10.0 KB
3.b) Set up the Analysis Table with Indicators¶
In [12]:
def trading_ma_crossover(model):
waitfor_first_entry = True
for x in range(len(model)):
if model['ma_change'].iloc[x] > 0:
model['trade_signal'].iloc[x] = 1 # trade_signal = 1 means we should take a long position
else:
model['trade_signal'].iloc[x] = 0 # trade_signal = 0 means we should take a flat position
if x != 0:
model['signal_change'].iloc[x] = model['trade_signal'].iloc[x] - model['trade_signal'].iloc[x-1]
if waitfor_first_entry and (model['signal_change'].iloc[x-1] == 1):
model['entry_exit'].iloc[x] = model['signal_change'].iloc[x-1]
waitfor_first_entry = False
elif (not waitfor_first_entry) and (model['signal_change'].iloc[x-1] != 0):
model['entry_exit'].iloc[x] = model['signal_change'].iloc[x-1]
In [13]:
model_collection = {}
serial_number = 1
for slow_ma in range(slow_ma_min, slow_ma_max+1, ma_increment):
for fast_ma in range(fast_ma_min, fast_ma_max+1, ma_increment):
if (slow_ma - fast_ma) < min_ma_gap: break
print('Processing model with slow_ma of', slow_ma, 'and fast_ma of', fast_ma)
model_name = 'EMA_' + str(serial_number).zfill(3) + '_SlowMA_' + str(slow_ma).zfill(2) + '_FastMA_' + str(fast_ma).zfill(2)
serial_number = serial_number + 1
trading_model = model_template.copy()
trading_model['fast_ma'] = trading_model['close_price'].ewm(span=fast_ma).mean()
trading_model['slow_ma'] = trading_model['close_price'].ewm(span=slow_ma).mean()
trading_model['ma_change'] = trading_model['fast_ma'] - trading_model['slow_ma']
trading_model['trade_signal'] = np.zeros(len(trading_model))
trading_model['signal_change'] = np.zeros(len(trading_model))
trading_model['entry_exit'] = np.zeros(len(trading_model))
trading_model = trading_model[model_start_date:model_end_date]
trading_ma_crossover(trading_model)
model_collection[model_name] = trading_model.copy()
print('Model', model_name, 'added to the trading model collection.')
Processing model with slow_ma of 10 and fast_ma of 5 Model EMA_001_SlowMA_10_FastMA_05 added to the trading model collection. Processing model with slow_ma of 15 and fast_ma of 5 Model EMA_002_SlowMA_15_FastMA_05 added to the trading model collection. Processing model with slow_ma of 15 and fast_ma of 10 Model EMA_003_SlowMA_15_FastMA_10 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 5 Model EMA_004_SlowMA_20_FastMA_05 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 10 Model EMA_005_SlowMA_20_FastMA_10 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 15 Model EMA_006_SlowMA_20_FastMA_15 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 5 Model EMA_007_SlowMA_25_FastMA_05 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 10 Model EMA_008_SlowMA_25_FastMA_10 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 15 Model EMA_009_SlowMA_25_FastMA_15 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 20 Model EMA_010_SlowMA_25_FastMA_20 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 5 Model EMA_011_SlowMA_30_FastMA_05 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 10 Model EMA_012_SlowMA_30_FastMA_10 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 15 Model EMA_013_SlowMA_30_FastMA_15 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 20 Model EMA_014_SlowMA_30_FastMA_20 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 5 Model EMA_015_SlowMA_35_FastMA_05 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 10 Model EMA_016_SlowMA_35_FastMA_10 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 15 Model EMA_017_SlowMA_35_FastMA_15 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 20 Model EMA_018_SlowMA_35_FastMA_20 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 5 Model EMA_019_SlowMA_40_FastMA_05 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 10 Model EMA_020_SlowMA_40_FastMA_10 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 15 Model EMA_021_SlowMA_40_FastMA_15 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 20 Model EMA_022_SlowMA_40_FastMA_20 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 5 Model EMA_023_SlowMA_45_FastMA_05 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 10 Model EMA_024_SlowMA_45_FastMA_10 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 15 Model EMA_025_SlowMA_45_FastMA_15 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 20 Model EMA_026_SlowMA_45_FastMA_20 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 5 Model EMA_027_SlowMA_50_FastMA_05 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 10 Model EMA_028_SlowMA_50_FastMA_10 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 15 Model EMA_029_SlowMA_50_FastMA_15 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 20 Model EMA_030_SlowMA_50_FastMA_20 added to the trading model collection.
In [14]:
# List the entry/exit points for each model
for key in model_collection:
print('List the signal change and entry/exit points for', key)
if verbose: print(model_collection[key][(model_collection[key].signal_change != 0) | (model_collection[key].entry_exit != 0)])
else: print(model_collection[key][model_collection[key].entry_exit != 0])
print()
List the signal change and entry/exit points for EMA_001_SlowMA_10_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-03-04 359.720 351.04 356.875358 357.609596 -0.734238
2019-03-13 355.810 361.21 357.524351 356.964175 0.560176
2019-03-14 360.500 358.82 357.956234 357.301598 0.654636
2019-03-27 361.000 353.37 360.648004 361.816467 -1.168463
2019-03-28 354.485 354.61 358.635336 360.506201 -1.870865
2019-04-02 366.250 367.72 363.206025 362.297566 0.908460
2019-04-03 369.260 369.75 365.387350 363.652554 1.734796
2019-04-12 360.690 351.14 360.672328 362.280410 -1.608082
2019-04-15 350.710 348.87 356.738219 359.842154 -3.103935
2019-04-22 359.700 377.34 364.380883 362.440073 1.940810
2019-04-23 375.450 381.89 370.217255 365.976423 4.240832
2019-05-08 367.920 364.37 372.104776 372.821425 -0.716648
2019-05-09 360.900 362.75 368.986518 370.990257 -2.003739
2019-06-06 354.840 357.13 352.714875 352.158132 0.556744
2019-06-07 357.390 360.87 355.433250 353.742108 1.691143
2019-06-12 351.820 345.56 350.709852 351.675880 -0.966028
2019-06-13 347.230 343.43 348.283235 350.176629 -1.893395
2019-06-18 355.570 357.12 350.480958 350.233526 0.247433
2019-06-19 361.720 363.52 354.827306 352.649248 2.178057
2019-07-15 372.940 366.60 373.585520 373.844934 -0.259414
2019-07-16 370.090 365.99 371.053680 372.416764 -1.363085
2019-09-17 294.500 298.60 294.352418 293.427403 0.925015
2019-09-18 294.990 291.56 293.421612 293.087875 0.333737
2019-09-19 291.560 286.60 291.147741 291.908262 -0.760520
2019-09-20 280.260 270.75 284.348494 288.061305 -3.712811
2019-10-10 265.970 280.48 273.380971 272.266753 1.114217
2019-10-11 284.800 282.93 276.563980 274.205525 2.358455
2019-10-22 271.159 266.69 276.313004 277.721714 -1.408710
2019-10-23 268.060 271.27 274.632003 276.548675 -1.916673
2019-10-28 278.050 281.86 277.063556 276.940244 0.123313
2019-10-29 281.870 281.21 278.445704 277.716563 0.729141
2019-12-05 305.270 302.86 306.383809 306.723736 -0.339928
2019-12-06 304.700 307.35 306.705872 306.837602 -0.131730
2019-12-17 307.360 315.48 305.812442 304.371674 1.440768
2019-12-18 316.260 320.80 310.808295 307.358642 3.449653
2020-01-22 332.550 326.00 334.131301 334.487170 -0.355869
2020-01-23 326.040 349.60 339.287534 337.234957 2.052577
2020-01-24 348.460 353.16 343.911689 340.130419 3.781270
2020-02-25 372.000 360.09 371.952954 373.603776 -1.650822
2020-02-26 366.310 379.24 374.381969 374.628544 -0.246575
2020-03-02 373.110 381.05 375.019472 374.608015 0.411457
2020-03-03 381.030 368.77 372.936315 373.546558 -0.610243
2020-03-04 377.770 383.79 376.554210 375.409002 1.145208
2020-03-05 381.000 372.78 375.296140 374.931002 0.365138
2020-03-06 367.700 368.97 373.187427 373.847183 -0.659757
2020-03-09 343.860 346.49 364.288284 368.873150 -4.584865
2020-03-23 347.890 360.27 338.587961 338.470149 0.117812
2020-03-24 369.990 357.32 344.831974 341.897395 2.934579
2020-05-22 437.000 429.32 439.058486 439.462560 -0.404074
2020-05-26 427.770 414.77 430.962324 434.973004 -4.010679
2020-06-09 421.650 434.05 424.673134 424.594042 0.079092
2020-06-10 436.000 434.48 427.942090 426.391489 1.550600
2020-06-12 429.000 418.07 424.122040 424.754799 -0.632759
2020-06-15 421.400 425.50 424.581360 424.890290 -0.308930
2020-06-16 425.760 436.13 428.430907 426.933873 1.497033
2020-06-17 441.820 447.77 434.877271 430.722260 4.155011
trade_signal signal_change entry_exit
date
2019-03-04 0.0 -1.0 0.0
2019-03-13 1.0 1.0 0.0
2019-03-14 1.0 0.0 1.0
2019-03-27 0.0 -1.0 0.0
2019-03-28 0.0 0.0 -1.0
2019-04-02 1.0 1.0 0.0
2019-04-03 1.0 0.0 1.0
2019-04-12 0.0 -1.0 0.0
2019-04-15 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-08 0.0 -1.0 0.0
2019-05-09 0.0 0.0 -1.0
2019-06-06 1.0 1.0 0.0
2019-06-07 1.0 0.0 1.0
2019-06-12 0.0 -1.0 0.0
2019-06-13 0.0 0.0 -1.0
2019-06-18 1.0 1.0 0.0
2019-06-19 1.0 0.0 1.0
2019-07-15 0.0 -1.0 0.0
2019-07-16 0.0 0.0 -1.0
2019-09-17 1.0 1.0 0.0
2019-09-18 1.0 0.0 1.0
2019-09-19 0.0 -1.0 0.0
2019-09-20 0.0 0.0 -1.0
2019-10-10 1.0 1.0 0.0
2019-10-11 1.0 0.0 1.0
2019-10-22 0.0 -1.0 0.0
2019-10-23 0.0 0.0 -1.0
2019-10-28 1.0 1.0 0.0
2019-10-29 1.0 0.0 1.0
2019-12-05 0.0 -1.0 0.0
2019-12-06 0.0 0.0 -1.0
2019-12-17 1.0 1.0 0.0
2019-12-18 1.0 0.0 1.0
2020-01-22 0.0 -1.0 0.0
2020-01-23 1.0 1.0 -1.0
2020-01-24 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-03-02 1.0 1.0 0.0
2020-03-03 0.0 -1.0 1.0
2020-03-04 1.0 1.0 -1.0
2020-03-05 1.0 0.0 1.0
2020-03-06 0.0 -1.0 0.0
2020-03-09 0.0 0.0 -1.0
2020-03-23 1.0 1.0 0.0
2020-03-24 1.0 0.0 1.0
2020-05-22 0.0 -1.0 0.0
2020-05-26 0.0 0.0 -1.0
2020-06-09 1.0 1.0 0.0
2020-06-10 1.0 0.0 1.0
2020-06-12 0.0 -1.0 0.0
2020-06-15 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_002_SlowMA_15_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-03 270.200 271.20 264.811004 263.592293 1.218711
2019-01-04 281.880 297.57 275.730669 267.843095 7.887575
2019-03-07 360.160 352.60 355.676402 355.822236 -0.145833
2019-03-08 345.750 349.60 353.650935 355.044454 -1.393519
2019-03-12 359.370 356.27 355.681527 355.614974 0.066553
2019-03-13 355.810 361.21 357.524351 356.314353 1.209998
2019-03-27 361.000 353.37 360.648004 361.283148 -0.635144
2019-03-28 354.485 354.61 358.635336 360.449004 -1.813668
2019-04-01 359.000 366.96 360.949038 360.837519 0.111520
2019-04-02 366.250 367.72 363.206025 361.697829 1.508196
2019-04-12 360.690 351.14 360.672328 362.458141 -1.785813
2019-04-15 350.710 348.87 356.738219 360.759623 -4.021404
2019-04-22 359.700 377.34 364.380883 362.102440 2.278443
2019-04-23 375.450 381.89 370.217255 364.575885 5.641370
2019-05-09 360.900 362.75 368.986518 370.686082 -1.699564
2019-05-10 361.620 361.04 366.337678 369.480321 -3.142643
2019-06-07 357.390 360.87 355.433250 354.161033 1.272217
2019-06-10 363.650 352.01 354.292167 353.892154 0.400013
2019-06-11 355.000 351.27 353.284778 353.564385 -0.279607
2019-06-12 351.820 345.56 350.709852 352.563837 -1.853985
2019-06-19 361.720 363.52 354.827306 352.501687 2.325619
2019-06-20 365.910 365.21 358.288204 354.090226 4.197978
2019-07-16 370.090 365.99 371.053680 371.325097 -0.271418
2019-07-17 366.250 362.44 368.182453 370.214460 -2.032007
2019-09-17 294.500 298.60 294.352418 294.251035 0.101382
2019-09-18 294.990 291.56 293.421612 293.914656 -0.493044
2019-09-19 291.560 286.60 291.147741 293.000324 -1.852583
2019-10-10 265.970 280.48 273.380971 273.343683 0.037287
2019-10-11 284.800 282.93 276.563980 274.541973 2.022007
2019-10-22 271.159 266.69 276.313004 277.690617 -1.377613
2019-10-23 268.060 271.27 274.632003 276.888039 -2.256037
2019-10-28 278.050 281.86 277.063556 276.986441 0.077116
2019-10-29 281.870 281.21 278.445704 277.514385 0.931319
2019-12-10 296.120 293.12 301.242610 303.409584 -2.166974
2019-12-11 294.490 298.93 300.471740 302.849636 -2.377896
2019-12-17 307.360 315.48 305.812442 303.791684 2.020759
2019-12-18 316.260 320.80 310.808295 305.917723 4.890572
2020-03-09 343.860 346.49 364.288284 369.779593 -5.491309
2020-03-10 356.425 364.13 364.235523 369.073394 -4.837871
2020-03-24 369.990 357.32 344.831974 344.400106 0.431868
2020-03-25 361.020 342.39 344.017983 344.148843 -0.130860
2020-03-26 344.000 362.99 350.341988 346.503988 3.838001
2020-03-27 359.090 357.12 352.601326 347.830989 4.770336
2020-05-26 427.770 414.77 430.962324 433.967021 -3.004697
2020-05-27 410.380 419.89 427.271550 432.207393 -4.935844
2020-06-10 436.000 434.48 427.942090 426.629274 1.312815
2020-06-11 428.200 425.56 427.148060 426.495615 0.652445
2020-06-12 429.000 418.07 424.122040 425.442413 -1.320373
2020-06-15 421.400 425.50 424.581360 425.449611 -0.868252
2020-06-16 425.760 436.13 428.430907 426.784660 1.646247
2020-06-17 441.820 447.77 434.877271 429.407828 5.469444
trade_signal signal_change entry_exit
date
2019-01-03 1.0 1.0 0.0
2019-01-04 1.0 0.0 1.0
2019-03-07 0.0 -1.0 0.0
2019-03-08 0.0 0.0 -1.0
2019-03-12 1.0 1.0 0.0
2019-03-13 1.0 0.0 1.0
2019-03-27 0.0 -1.0 0.0
2019-03-28 0.0 0.0 -1.0
2019-04-01 1.0 1.0 0.0
2019-04-02 1.0 0.0 1.0
2019-04-12 0.0 -1.0 0.0
2019-04-15 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-06-07 1.0 1.0 0.0
2019-06-10 1.0 0.0 1.0
2019-06-11 0.0 -1.0 0.0
2019-06-12 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-07-16 0.0 -1.0 0.0
2019-07-17 0.0 0.0 -1.0
2019-09-17 1.0 1.0 0.0
2019-09-18 0.0 -1.0 1.0
2019-09-19 0.0 0.0 -1.0
2019-10-10 1.0 1.0 0.0
2019-10-11 1.0 0.0 1.0
2019-10-22 0.0 -1.0 0.0
2019-10-23 0.0 0.0 -1.0
2019-10-28 1.0 1.0 0.0
2019-10-29 1.0 0.0 1.0
2019-12-10 0.0 -1.0 0.0
2019-12-11 0.0 0.0 -1.0
2019-12-17 1.0 1.0 0.0
2019-12-18 1.0 0.0 1.0
2020-03-09 0.0 -1.0 0.0
2020-03-10 0.0 0.0 -1.0
2020-03-24 1.0 1.0 0.0
2020-03-25 0.0 -1.0 1.0
2020-03-26 1.0 1.0 -1.0
2020-03-27 1.0 0.0 1.0
2020-05-26 0.0 -1.0 0.0
2020-05-27 0.0 0.0 -1.0
2020-06-10 1.0 1.0 0.0
2020-06-11 1.0 0.0 1.0
2020-06-12 0.0 -1.0 0.0
2020-06-15 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_003_SlowMA_15_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.880 297.57 268.997896 267.843095 1.154801
2019-01-07 302.100 315.34 277.423898 273.784597 3.639302
2019-03-29 357.160 356.56 359.788710 359.962878 -0.174169
2019-04-01 359.000 366.96 361.092581 360.837519 0.255062
2019-04-02 366.250 367.72 362.297566 361.697829 0.599737
2019-04-12 360.690 351.14 362.280410 362.458141 -0.177730
2019-04-15 350.710 348.87 359.842154 360.759623 -0.917469
2019-04-22 359.700 377.34 362.440073 362.102440 0.337633
2019-04-23 375.450 381.89 365.976423 364.575885 1.400538
2019-05-10 361.620 361.04 369.181119 369.480321 -0.299202
2019-05-13 352.290 345.26 364.831825 366.452781 -1.620957
2019-06-19 361.720 363.52 352.649248 352.501687 0.147561
2019-06-20 365.910 365.21 354.933021 354.090226 0.842795
2019-07-18 323.760 325.21 362.349569 364.588903 -2.239333
2019-07-19 323.400 315.10 353.758739 358.402790 -4.644051
2019-10-14 283.930 285.53 276.264521 275.915476 0.349044
2019-10-15 283.820 284.25 277.716426 276.957292 0.759134
2019-10-23 268.060 271.27 276.548675 276.888039 -0.339364
2019-10-24 271.810 271.50 275.630734 276.214535 -0.583800
2019-10-29 281.870 281.21 277.716563 277.514385 0.202177
2019-10-30 284.340 291.45 280.213551 279.256337 0.957214
2019-12-11 294.490 298.93 302.831279 302.849636 -0.018357
2019-12-12 295.670 298.44 302.032864 302.298431 -0.265567
2019-12-17 307.360 315.48 304.371674 303.791684 0.579991
2019-12-18 316.260 320.80 307.358642 305.917723 1.440919
2020-03-09 343.860 346.49 368.873150 369.779593 -0.906443
2020-03-10 356.425 364.13 368.010759 369.073394 -1.062635
2020-03-27 359.090 357.12 347.862840 347.830989 0.031851
2020-03-30 363.000 370.96 352.062324 350.722116 1.340209
2020-05-28 417.240 413.44 428.814160 429.861469 -1.047310
2020-05-29 417.460 419.73 427.162494 428.595036 -1.432541
2020-06-16 425.760 436.13 426.933873 426.784660 0.149213
2020-06-17 441.820 447.77 430.722260 429.407828 1.314433
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-03-29 0.0 -1.0 0.0
2019-04-01 1.0 1.0 -1.0
2019-04-02 1.0 0.0 1.0
2019-04-12 0.0 -1.0 0.0
2019-04-15 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2019-10-23 0.0 -1.0 0.0
2019-10-24 0.0 0.0 -1.0
2019-10-29 1.0 1.0 0.0
2019-10-30 1.0 0.0 1.0
2019-12-11 0.0 -1.0 0.0
2019-12-12 0.0 0.0 -1.0
2019-12-17 1.0 1.0 0.0
2019-12-18 1.0 0.0 1.0
2020-03-09 0.0 -1.0 0.0
2020-03-10 0.0 0.0 -1.0
2020-03-27 1.0 1.0 0.0
2020-03-30 1.0 0.0 1.0
2020-05-28 0.0 -1.0 0.0
2020-05-29 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_004_SlowMA_20_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.880 297.57 275.730669 268.432540 7.298129
2019-01-07 302.100 315.34 288.933780 272.920094 16.013685
2019-03-28 354.485 354.61 358.635336 359.645334 -1.009998
2019-03-29 357.160 356.56 357.943557 359.351488 -1.407931
2019-04-01 359.000 366.96 360.949038 360.076118 0.872920
2019-04-02 366.250 367.72 363.206025 360.804116 2.401910
2019-04-12 360.690 351.14 360.672328 362.093778 -1.421450
2019-04-15 350.710 348.87 356.738219 360.834364 -4.096146
2019-04-22 359.700 377.34 364.380883 361.792529 2.588354
2019-04-23 375.450 381.89 370.217255 363.706579 6.510676
2019-05-09 360.900 362.75 368.986518 369.887702 -0.901184
2019-05-10 361.620 361.04 366.337678 369.045063 -2.707384
2019-06-07 357.390 360.87 355.433250 355.077473 0.355777
2019-06-10 363.650 352.01 354.292167 354.785333 -0.493166
2019-06-11 355.000 351.27 353.284778 354.450539 -1.165761
2019-06-19 361.720 363.52 354.827306 352.990688 1.836618
2019-06-20 365.910 365.21 358.288204 354.154432 4.133772
2019-07-17 366.250 362.44 368.182453 369.116203 -0.933750
2019-07-18 323.760 325.21 353.858302 364.934660 -11.076358
2019-10-11 284.800 282.93 276.563980 276.048035 0.515946
2019-10-14 283.930 285.53 279.552654 276.951079 2.601575
2019-10-22 271.159 266.69 276.313004 278.113331 -1.800327
2019-10-23 268.060 271.27 274.632003 277.461585 -2.829583
2019-10-29 281.870 281.21 278.445704 277.727051 0.718653
2019-10-30 284.340 291.45 282.780469 279.033998 3.746471
2019-12-10 296.120 293.12 301.242610 302.155312 -0.912702
2019-12-11 294.490 298.93 300.471740 301.848140 -1.376400
2019-12-17 307.360 315.48 305.812442 302.848505 2.963938
2019-12-18 316.260 320.80 310.808295 304.558171 6.250124
2020-03-09 343.860 346.49 364.288284 368.983998 -4.695714
2020-03-10 356.425 364.13 364.235523 368.521713 -4.286190
2020-03-26 344.000 362.99 350.341988 348.145331 2.196658
2020-03-27 359.090 357.12 352.601326 349.000061 3.601264
2020-05-26 427.770 414.77 430.962324 431.181487 -0.219162
2020-05-27 410.380 419.89 427.271550 430.106107 -2.834558
2020-06-10 436.000 434.48 427.942090 426.384692 1.557397
2020-06-11 428.200 425.56 427.148060 426.306150 0.841910
2020-06-12 429.000 418.07 424.122040 425.521755 -1.399715
2020-06-15 421.400 425.50 424.581360 425.519683 -0.938323
2020-06-16 425.760 436.13 428.430907 426.530189 1.900717
2020-06-17 441.820 447.77 434.877271 428.553028 6.324243
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-03-28 0.0 -1.0 0.0
2019-03-29 0.0 0.0 -1.0
2019-04-01 1.0 1.0 0.0
2019-04-02 1.0 0.0 1.0
2019-04-12 0.0 -1.0 0.0
2019-04-15 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-06-07 1.0 1.0 0.0
2019-06-10 0.0 -1.0 1.0
2019-06-11 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-07-17 0.0 -1.0 0.0
2019-07-18 0.0 0.0 -1.0
2019-10-11 1.0 1.0 0.0
2019-10-14 1.0 0.0 1.0
2019-10-22 0.0 -1.0 0.0
2019-10-23 0.0 0.0 -1.0
2019-10-29 1.0 1.0 0.0
2019-10-30 1.0 0.0 1.0
2019-12-10 0.0 -1.0 0.0
2019-12-11 0.0 0.0 -1.0
2019-12-17 1.0 1.0 0.0
2019-12-18 1.0 0.0 1.0
2020-03-09 0.0 -1.0 0.0
2020-03-10 0.0 0.0 -1.0
2020-03-26 1.0 1.0 0.0
2020-03-27 1.0 0.0 1.0
2020-05-26 0.0 -1.0 0.0
2020-05-27 0.0 0.0 -1.0
2020-06-10 1.0 1.0 0.0
2020-06-11 1.0 0.0 1.0
2020-06-12 0.0 -1.0 0.0
2020-06-15 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_005_SlowMA_20_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.880 297.57 268.997896 268.432540 0.565355
2019-01-07 302.100 315.34 277.423898 272.920094 4.503804
2019-04-15 350.710 348.87 359.842154 360.834364 -0.992211
2019-04-16 355.000 359.46 359.772671 360.703472 -0.930801
2019-04-22 359.700 377.34 362.440073 361.792529 0.647545
2019-04-23 375.450 381.89 365.976423 363.706579 2.269844
2019-05-13 352.290 345.26 364.831825 366.779817 -1.947992
2019-05-14 348.710 345.61 361.336947 364.763642 -3.426695
2019-06-20 365.910 365.21 354.933021 354.154432 0.778590
2019-06-21 365.000 369.21 357.528836 355.588295 1.940540
2019-07-18 323.760 325.21 362.349569 364.934660 -2.585090
2019-07-19 323.400 315.10 353.758739 360.188502 -6.429763
2019-10-15 283.820 284.25 277.716426 277.646214 0.070212
2019-10-16 283.120 286.28 279.273440 278.468480 0.804960
2019-10-22 271.159 266.69 277.721714 278.113331 -0.391617
2019-10-23 268.060 271.27 276.548675 277.461585 -0.912910
2019-10-30 284.340 291.45 280.213551 279.033998 1.179553
2019-10-31 291.000 287.41 281.521997 279.831713 1.690284
2020-03-09 343.860 346.49 368.873150 368.983998 -0.110848
2020-03-10 356.425 364.13 368.010759 368.521713 -0.510954
2020-03-30 363.000 370.96 352.062324 351.091484 0.970840
2020-03-31 367.930 375.50 356.323720 353.416104 2.907615
2020-05-29 417.460 419.73 427.162494 427.681825 -0.519330
2020-06-01 418.830 425.92 426.936586 427.514032 -0.577446
2020-06-10 436.000 434.48 426.391489 426.384692 0.006797
2020-06-11 428.200 425.56 426.240309 426.306150 -0.065841
2020-06-12 429.000 418.07 424.754799 425.521755 -0.766956
2020-06-16 425.760 436.13 426.933873 426.530189 0.403684
2020-06-17 441.820 447.77 430.722260 428.553028 2.169232
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-04-15 0.0 -1.0 0.0
2019-04-16 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-20 1.0 1.0 0.0
2019-06-21 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-15 1.0 1.0 0.0
2019-10-16 1.0 0.0 1.0
2019-10-22 0.0 -1.0 0.0
2019-10-23 0.0 0.0 -1.0
2019-10-30 1.0 1.0 0.0
2019-10-31 1.0 0.0 1.0
2020-03-09 0.0 -1.0 0.0
2020-03-10 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
2020-05-29 0.0 -1.0 0.0
2020-06-01 0.0 0.0 -1.0
2020-06-10 1.0 1.0 0.0
2020-06-11 0.0 -1.0 1.0
2020-06-12 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_006_SlowMA_20_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.10 315.34 273.784597 272.920094 0.864502
2019-01-08 319.98 320.27 279.599030 277.448029 2.151001
2019-04-15 350.71 348.87 360.759623 360.834364 -0.074742
2019-04-16 355.00 359.46 360.597170 360.703472 -0.106302
2019-04-22 359.70 377.34 362.102440 361.792529 0.309911
2019-04-23 375.45 381.89 364.575885 363.706579 0.869306
2019-05-13 352.29 345.26 366.452781 366.779817 -0.327036
2019-05-14 348.71 345.61 363.847434 364.763642 -0.916209
2019-06-21 365.00 369.21 355.980198 355.588295 0.391902
2019-06-24 370.27 371.04 357.862673 357.059886 0.802787
2019-07-18 323.76 325.21 364.588903 364.934660 -0.345757
2019-07-19 323.40 315.10 358.402790 360.188502 -1.785712
2019-10-17 304.49 293.35 280.026052 279.885767 0.140284
2019-10-18 289.36 275.30 279.435295 279.449028 -0.013733
2019-10-21 272.89 278.05 279.262133 279.315787 -0.053654
2019-10-30 284.34 291.45 279.256337 279.033998 0.222339
2019-10-31 291.00 287.41 280.275545 279.831713 0.443832
2020-03-11 358.92 349.92 366.679220 366.750121 -0.070901
2020-03-12 326.50 315.25 360.250567 361.845347 -1.594780
2020-03-31 367.93 375.50 353.819351 353.416104 0.403247
2020-04-01 376.05 364.08 355.101932 354.431714 0.670219
2020-06-04 422.39 414.33 425.740303 425.764786 -0.024483
2020-06-05 407.29 419.60 424.972765 425.177664 -0.204899
2020-06-10 436.00 434.48 426.629274 426.384692 0.244582
2020-06-11 428.20 425.56 426.495615 426.306150 0.189465
2020-06-12 429.00 418.07 425.442413 425.521755 -0.079342
2020-06-15 421.40 425.50 425.449611 425.519683 -0.070072
2020-06-16 425.76 436.13 426.784660 426.530189 0.254471
2020-06-17 441.82 447.77 429.407828 428.553028 0.854799
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-04-15 0.0 -1.0 0.0
2019-04-16 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-17 1.0 1.0 0.0
2019-10-18 0.0 -1.0 1.0
2019-10-21 0.0 0.0 -1.0
2019-10-30 1.0 1.0 0.0
2019-10-31 1.0 0.0 1.0
2020-03-11 0.0 -1.0 0.0
2020-03-12 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 1.0 0.0 1.0
2020-06-04 0.0 -1.0 0.0
2020-06-05 0.0 0.0 -1.0
2020-06-10 1.0 1.0 0.0
2020-06-11 1.0 0.0 1.0
2020-06-12 0.0 -1.0 0.0
2020-06-15 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_007_SlowMA_25_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.880 297.57 275.730669 269.577824 6.152845
2019-01-07 302.100 315.34 288.933780 273.145330 15.788450
2019-03-29 357.160 356.56 357.943557 358.173955 -0.230398
2019-04-01 359.000 366.96 360.949038 358.849891 2.099147
2019-04-02 366.250 367.72 363.206025 359.532288 3.673737
2019-04-12 360.690 351.14 360.672328 361.322156 -0.649828
2019-04-15 350.710 348.87 356.738219 360.364242 -3.626024
2019-04-22 359.700 377.34 364.380883 361.245752 3.135131
2019-04-23 375.450 381.89 370.217255 362.833832 7.383423
2019-05-10 361.620 361.04 366.337678 368.329729 -1.992051
2019-05-13 352.290 345.26 359.311786 366.555112 -7.243327
2019-06-19 361.720 363.52 354.827306 353.663931 1.163375
2019-06-20 365.910 365.21 358.288204 354.552091 3.736113
2019-07-18 323.760 325.21 353.858302 364.708289 -10.849987
2019-07-19 323.400 315.10 340.938868 360.892266 -19.953398
2019-10-14 283.930 285.53 279.552654 278.697875 0.854778
2019-10-15 283.820 284.25 281.118436 279.124962 1.993474
2019-10-22 271.159 266.69 276.313004 279.101634 -2.788630
2019-10-23 268.060 271.27 274.632003 278.499201 -3.867198
2019-10-29 281.870 281.21 278.445704 278.412833 0.032871
2019-10-30 284.340 291.45 282.780469 279.415692 3.364778
2019-12-11 294.490 298.93 300.471740 300.561998 -0.090258
2019-12-12 295.670 298.44 299.794493 300.398767 -0.604274
2019-12-16 300.850 304.21 300.978664 300.557115 0.421548
2019-12-17 307.360 315.48 305.812442 301.705030 4.107413
2020-03-09 343.860 346.49 364.288284 367.301480 -3.013195
2020-03-10 356.425 364.13 364.235523 367.057520 -2.821997
2020-03-26 344.000 362.99 350.341988 349.440172 0.901816
2020-03-27 359.090 357.12 352.601326 350.030928 2.570398
2020-05-28 417.240 413.44 422.661033 426.021552 -3.360519
2020-05-29 417.460 419.73 421.684022 425.537587 -3.853565
2020-06-09 421.650 434.05 424.673134 424.606045 0.067090
2020-06-10 436.000 434.48 427.942090 425.365580 2.576510
2020-06-12 429.000 418.07 424.122040 424.818186 -0.696146
2020-06-15 421.400 425.50 424.581360 424.870633 -0.289274
2020-06-16 425.760 436.13 428.430907 425.736739 2.694168
2020-06-17 441.820 447.77 434.877271 427.431605 7.445666
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-03-29 0.0 -1.0 0.0
2019-04-01 1.0 1.0 -1.0
2019-04-02 1.0 0.0 1.0
2019-04-12 0.0 -1.0 0.0
2019-04-15 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2019-10-22 0.0 -1.0 0.0
2019-10-23 0.0 0.0 -1.0
2019-10-29 1.0 1.0 0.0
2019-10-30 1.0 0.0 1.0
2019-12-11 0.0 -1.0 0.0
2019-12-12 0.0 0.0 -1.0
2019-12-16 1.0 1.0 0.0
2019-12-17 1.0 0.0 1.0
2020-03-09 0.0 -1.0 0.0
2020-03-10 0.0 0.0 -1.0
2020-03-26 1.0 1.0 0.0
2020-03-27 1.0 0.0 1.0
2020-05-28 0.0 -1.0 0.0
2020-05-29 0.0 0.0 -1.0
2020-06-09 1.0 1.0 0.0
2020-06-10 1.0 0.0 1.0
2020-06-12 0.0 -1.0 0.0
2020-06-15 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_008_SlowMA_25_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.100 315.34 277.423898 273.145330 4.278569
2019-01-08 319.980 320.27 285.214224 276.815255 8.398969
2019-04-15 350.710 348.87 359.842154 360.364242 -0.522089
2019-04-16 355.000 359.46 359.772671 360.294682 -0.522010
2019-04-22 359.700 377.34 362.440073 361.245752 1.194321
2019-04-23 375.450 381.89 365.976423 362.833832 3.142591
2019-05-13 352.290 345.26 364.831825 366.555112 -1.723288
2019-05-14 348.710 345.61 361.336947 364.943931 -3.606984
2019-06-20 365.910 365.21 354.933021 354.552091 0.380930
2019-06-21 365.000 369.21 357.528836 355.679624 1.849212
2019-07-18 323.760 325.21 362.349569 364.708289 -2.358720
2019-07-19 323.400 315.10 353.758739 360.892266 -7.133527
2019-10-17 304.490 293.35 281.832814 280.727246 1.105568
2019-10-18 289.360 275.30 280.645030 280.309765 0.335265
2019-10-22 271.159 266.69 277.721714 279.101634 -1.379920
2019-10-23 268.060 271.27 276.548675 278.499201 -1.950526
2019-10-30 284.340 291.45 280.213551 279.415692 0.797860
2019-10-31 291.000 287.41 281.521997 280.030639 1.491358
2020-03-11 358.920 349.92 364.721530 365.739249 -1.017719
2020-03-12 326.500 315.25 355.726706 361.855461 -6.128754
2020-03-30 363.000 370.96 352.062324 351.640857 0.421467
2020-03-31 367.930 375.50 356.323720 353.476175 2.847544
2020-06-04 422.390 414.33 423.951098 424.561453 -0.610355
2020-06-05 407.290 419.60 423.159989 424.179802 -1.019813
2020-06-10 436.000 434.48 426.391489 425.365580 1.025910
2020-06-11 428.200 425.56 426.240309 425.380535 0.859774
2020-06-12 429.000 418.07 424.754799 424.818186 -0.063388
2020-06-15 421.400 425.50 424.890290 424.870633 0.019656
2020-06-16 425.760 436.13 426.933873 425.736739 1.197135
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-04-15 0.0 -1.0 0.0
2019-04-16 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-20 1.0 1.0 0.0
2019-06-21 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-17 1.0 1.0 0.0
2019-10-18 1.0 0.0 1.0
2019-10-22 0.0 -1.0 0.0
2019-10-23 0.0 0.0 -1.0
2019-10-30 1.0 1.0 0.0
2019-10-31 1.0 0.0 1.0
2020-03-11 0.0 -1.0 0.0
2020-03-12 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
2020-06-04 0.0 -1.0 0.0
2020-06-05 0.0 0.0 -1.0
2020-06-10 1.0 1.0 0.0
2020-06-11 1.0 0.0 1.0
2020-06-12 0.0 -1.0 0.0
2020-06-15 1.0 1.0 -1.0
2020-06-16 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_009_SlowMA_25_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.10 315.340 273.784597 273.145330 0.639267
2019-01-08 319.98 320.270 279.599030 276.815255 2.783774
2019-04-17 365.05 354.740 359.865024 359.867378 -0.002354
2019-04-18 355.00 360.350 359.925646 359.904504 0.021142
2019-04-22 359.70 377.340 362.102440 361.245752 0.856688
2019-05-13 352.29 345.260 366.452781 366.555112 -0.102331
2019-05-14 348.71 345.610 363.847434 364.943931 -1.096498
2019-06-21 365.00 369.210 355.980198 355.679624 0.300574
2019-06-24 370.27 371.040 357.862673 356.861193 1.001480
2019-07-18 323.76 325.210 364.588903 364.708289 -0.119387
2019-07-19 323.40 315.100 358.402790 360.892266 -2.489476
2019-10-31 291.00 287.410 280.275545 280.030639 0.244906
2019-11-01 288.70 286.810 281.092352 280.552128 0.540224
2020-03-12 326.50 315.250 360.250567 361.855461 -1.604893
2020-03-13 330.51 336.295 357.256121 359.889271 -2.633150
2020-03-31 367.93 375.500 353.819351 353.476175 0.343176
2020-04-01 376.05 364.080 355.101932 354.291854 0.810078
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-04-17 0.0 -1.0 0.0
2019-04-18 1.0 1.0 -1.0
2019-04-22 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-31 1.0 1.0 0.0
2019-11-01 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_010_SlowMA_25_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 319.98 320.270 277.448029 276.815255 0.632774
2019-01-09 317.71 319.960 281.511745 280.172035 1.339710
2019-05-14 348.71 345.610 364.763642 364.943931 -0.180289
2019-05-15 343.34 354.990 363.832819 364.178236 -0.345417
2019-06-24 370.27 371.040 357.059886 356.861193 0.198693
2019-06-25 370.75 360.300 357.368469 357.125717 0.242752
2019-07-19 323.40 315.100 360.188502 360.892266 -0.703764
2019-07-22 312.00 310.620 355.467692 357.025168 -1.557476
2019-11-04 288.00 292.860 281.673806 281.498887 0.174918
2019-11-05 289.99 288.030 282.279158 282.001281 0.277877
2020-03-12 326.50 315.250 361.845347 361.855461 -0.010113
2020-03-13 330.51 336.295 359.411981 359.889271 -0.477290
2020-04-01 376.05 364.080 354.431714 354.291854 0.139859
2020-04-02 364.08 370.080 355.922027 355.506327 0.415700
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-04 1.0 1.0 0.0
2019-11-05 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-04-01 1.0 1.0 0.0
2020-04-02 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_011_SlowMA_30_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.880 297.57 275.730669 270.828146 4.902523
2019-01-07 302.100 315.34 288.933780 273.780439 15.153341
2019-04-15 350.710 348.87 356.738219 359.476217 -2.737999
2019-04-16 355.000 359.46 357.645479 359.475171 -1.829692
2019-04-22 359.700 377.34 364.380883 360.413402 3.967480
2019-04-23 375.450 381.89 370.217255 361.799280 8.417975
2019-05-10 361.620 361.04 366.337678 367.433126 -1.095447
2019-05-13 352.290 345.26 359.311786 366.002483 -6.690698
2019-06-19 361.720 363.52 354.827306 354.310073 0.517232
2019-06-20 365.910 365.21 358.288204 355.013304 3.274900
2019-07-18 323.760 325.21 353.858302 364.334250 -10.475948
2019-07-19 323.400 315.10 340.938868 361.157835 -20.218967
2019-10-15 283.820 284.25 281.118436 281.062833 0.055603
2019-10-16 283.120 286.28 282.838957 281.399425 1.439533
2019-10-21 272.890 278.05 281.124506 281.489939 -0.365433
2019-10-22 271.159 266.69 276.313004 280.535104 -4.222100
2019-10-30 284.340 291.45 282.780469 280.283929 2.496541
2019-10-31 291.000 287.41 284.323646 280.743675 3.579971
2020-03-09 343.860 346.49 364.288284 365.160028 -0.871743
2020-03-10 356.425 364.13 364.235523 365.093574 -0.858051
2020-03-26 344.000 362.99 350.341988 350.144465 0.197524
2020-03-27 359.090 357.12 352.601326 350.594499 2.006826
2020-05-28 417.240 413.44 422.661033 423.009849 -0.348816
2020-05-29 417.460 419.73 421.684022 422.798246 -1.114224
2020-06-01 418.830 425.92 423.096015 422.999649 0.096365
2020-06-02 425.870 427.31 424.500676 423.277736 1.222940
2020-06-04 422.390 414.33 420.548078 422.621536 -2.073458
2020-06-05 407.290 419.60 420.232052 422.426598 -2.194546
2020-06-09 421.650 434.05 424.673134 422.999260 1.673874
2020-06-10 436.000 434.48 427.942090 423.739953 4.202136
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-04-15 0.0 -1.0 0.0
2019-04-16 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-15 1.0 1.0 0.0
2019-10-16 1.0 0.0 1.0
2019-10-21 0.0 -1.0 0.0
2019-10-22 0.0 0.0 -1.0
2019-10-30 1.0 1.0 0.0
2019-10-31 1.0 0.0 1.0
2020-03-09 0.0 -1.0 0.0
2020-03-10 0.0 0.0 -1.0
2020-03-26 1.0 1.0 0.0
2020-03-27 1.0 0.0 1.0
2020-05-28 0.0 -1.0 0.0
2020-05-29 0.0 0.0 -1.0
2020-06-01 1.0 1.0 0.0
2020-06-02 1.0 0.0 1.0
2020-06-04 0.0 -1.0 0.0
2020-06-05 0.0 0.0 -1.0
2020-06-09 1.0 1.0 0.0
2020-06-10 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_012_SlowMA_30_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.10 315.340 277.423898 273.780439 3.643460
2019-01-08 319.98 320.270 285.214224 276.858334 8.355890
2019-04-17 365.05 354.740 358.857640 359.169598 -0.311958
2019-04-18 355.00 360.350 359.128978 359.245771 -0.116793
2019-04-22 359.70 377.340 362.440073 360.413402 2.026671
2019-04-23 375.45 381.890 365.976423 361.799280 4.177144
2019-05-13 352.29 345.260 364.831825 366.002483 -1.170659
2019-05-14 348.71 345.610 361.336947 364.686738 -3.349790
2019-06-21 365.00 369.210 357.528836 355.929232 1.599604
2019-06-24 370.27 371.040 359.985411 356.904132 3.081279
2019-07-18 323.76 325.210 362.349569 364.334250 -1.984680
2019-07-19 323.40 315.100 353.758739 361.157835 -7.399097
2019-10-31 291.00 287.410 281.521997 280.743675 0.778321
2019-11-01 288.70 286.810 282.483452 281.135051 1.348401
2020-03-12 326.50 315.250 355.726706 360.962077 -5.235370
2020-03-13 330.51 336.295 352.193669 359.370653 -7.176984
2020-03-30 363.00 370.960 352.062324 351.908403 0.153921
2020-03-31 367.93 375.500 356.323720 353.430441 2.893278
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-04-17 0.0 -1.0 0.0
2019-04-18 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-31 1.0 1.0 0.0
2019-11-01 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_013_SlowMA_30_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.10 315.340 273.784597 273.780439 0.004158
2019-01-08 319.98 320.270 279.599030 276.858334 2.740696
2019-05-14 348.71 345.610 363.847434 364.686738 -0.839304
2019-05-15 343.34 354.990 362.740254 364.061097 -1.320842
2019-06-21 365.00 369.210 355.980198 355.929232 0.050966
2019-06-24 370.27 371.040 357.862673 356.904132 0.958541
2019-07-19 323.40 315.100 358.402790 361.157835 -2.755045
2019-07-22 312.00 310.620 352.429941 357.897319 -5.467378
2019-11-04 288.00 292.860 282.563308 281.891500 0.671808
2019-11-05 289.99 288.030 283.246644 282.287532 0.959113
2020-03-12 326.50 315.250 360.250567 360.962077 -0.711509
2020-03-13 330.51 336.295 357.256121 359.370653 -2.114531
2020-03-31 367.93 375.500 353.819351 353.430441 0.388910
2020-04-01 376.05 364.080 355.101932 354.117510 0.984423
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-04 1.0 1.0 0.0
2019-11-05 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_014_SlowMA_30_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 319.98 320.27 277.448029 276.858334 0.589695
2019-01-09 317.71 319.96 281.511745 279.707116 1.804630
2019-05-15 343.34 354.99 363.832819 364.061097 -0.228278
2019-05-16 356.37 359.31 363.402074 363.754554 -0.352480
2019-06-24 370.27 371.04 357.059886 356.904132 0.155755
2019-06-25 370.75 360.30 357.368469 357.123222 0.245246
2019-07-19 323.40 315.10 360.188502 361.157835 -0.969334
2019-07-22 312.00 310.62 355.467692 357.897319 -2.429627
2019-11-06 288.19 288.59 282.880190 282.694143 0.186047
2019-11-07 290.70 289.57 283.517315 283.137746 0.379569
2020-03-16 306.63 298.84 353.643221 355.465449 -1.822228
2020-03-17 306.18 319.75 350.415295 353.161227 -2.745932
2020-04-01 376.05 364.08 354.431714 354.117510 0.314204
2020-04-02 364.08 370.08 355.922027 355.147348 0.774679
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-15 0.0 -1.0 0.0
2019-05-16 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-06 1.0 1.0 0.0
2019-11-07 1.0 0.0 1.0
2020-03-16 0.0 -1.0 0.0
2020-03-17 0.0 0.0 -1.0
2020-04-01 1.0 1.0 0.0
2020-04-02 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_015_SlowMA_35_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.88 297.57 275.730669 272.014659 3.716010
2019-01-07 302.10 315.34 288.933780 274.536780 14.396999
2019-04-15 350.71 348.87 356.738219 358.284784 -1.546566
2019-04-16 355.00 359.46 357.645479 358.350132 -0.704653
2019-04-22 359.70 377.34 364.380883 359.331890 5.048993
2019-04-23 375.45 381.89 370.217255 360.586001 9.631254
2019-05-10 361.62 361.04 366.337678 366.385168 -0.047489
2019-05-13 352.29 345.26 359.311786 365.211176 -5.899390
2019-06-20 365.91 365.21 358.288204 355.406554 2.881649
2019-06-21 365.00 369.21 361.928802 356.173461 5.755341
2019-07-18 323.76 325.21 353.858302 363.935179 -10.076877
2019-07-19 323.40 315.10 340.938868 361.222055 -20.283187
2019-10-17 304.49 293.35 286.342638 283.980897 2.361741
2019-10-18 289.36 275.30 282.661759 283.498625 -0.836866
2019-10-21 272.89 278.05 281.124506 283.195924 -2.071418
2019-10-30 284.34 291.45 282.780469 281.520088 1.260382
2019-10-31 291.00 287.41 284.323646 281.847305 2.476341
2020-03-11 358.92 349.92 359.463682 362.153190 -2.689508
2020-03-12 326.50 315.25 344.725788 359.547458 -14.821670
2020-03-26 344.00 362.99 350.341988 350.305318 0.036670
2020-03-27 359.09 357.12 352.601326 350.683911 1.917414
2020-06-05 407.29 419.60 420.232052 420.236892 -0.004839
2020-06-08 416.00 419.49 419.984702 420.195398 -0.210696
2020-06-09 421.65 434.05 424.673134 420.965098 3.708037
2020-06-10 436.00 434.48 427.942090 421.715926 6.226164
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-04-15 0.0 -1.0 0.0
2019-04-16 0.0 0.0 -1.0
2019-04-22 1.0 1.0 0.0
2019-04-23 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-06-20 1.0 1.0 0.0
2019-06-21 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-17 1.0 1.0 0.0
2019-10-18 0.0 -1.0 1.0
2019-10-21 0.0 0.0 -1.0
2019-10-30 1.0 1.0 0.0
2019-10-31 1.0 0.0 1.0
2020-03-11 0.0 -1.0 0.0
2020-03-12 0.0 0.0 -1.0
2020-03-26 1.0 1.0 0.0
2020-03-27 1.0 0.0 1.0
2020-06-05 0.0 -1.0 0.0
2020-06-08 0.0 0.0 -1.0
2020-06-09 1.0 1.0 0.0
2020-06-10 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_016_SlowMA_35_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.10 315.340 277.423898 274.536780 2.887118
2019-01-08 319.98 320.270 285.214224 277.192015 8.022209
2019-05-13 352.29 345.260 364.831825 365.211176 -0.379351
2019-05-14 348.71 345.610 361.336947 364.121897 -2.784949
2019-06-21 365.00 369.210 357.528836 356.173461 1.355374
2019-06-24 370.27 371.040 359.985411 356.999430 2.985981
2019-07-18 323.76 325.210 362.349569 363.935179 -1.585609
2019-07-19 323.40 315.100 353.758739 361.222055 -7.463316
2019-11-01 288.70 286.810 282.483452 282.123011 0.360441
2019-11-04 288.00 292.860 284.370097 282.719510 1.650587
2020-03-12 326.50 315.250 355.726706 359.547458 -3.820751
2020-03-13 330.51 336.295 352.193669 358.255654 -6.061985
2020-03-30 363.00 370.960 352.062324 351.810361 0.251963
2020-03-31 367.93 375.500 356.323720 353.126452 3.197268
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-11-01 1.0 1.0 0.0
2019-11-04 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_017_SlowMA_35_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 319.98 320.270 279.599030 277.192015 2.407015
2019-01-09 317.71 319.960 284.647006 279.668889 4.978117
2019-05-14 348.71 345.610 363.847434 364.121897 -0.274463
2019-05-15 343.34 354.990 362.740254 363.614426 -0.874172
2019-06-24 370.27 371.040 357.862673 356.999430 0.863243
2019-06-25 370.75 360.300 358.167339 357.182805 0.984533
2019-07-19 323.40 315.100 358.402790 361.222055 -2.819265
2019-07-22 312.00 310.620 352.429941 358.410772 -5.980831
2019-11-05 289.99 288.030 283.246644 283.014538 0.232107
2019-11-06 288.19 288.590 283.914564 283.324286 0.590278
2020-03-13 330.51 336.295 357.256121 358.255654 -0.999533
2020-03-16 306.63 298.840 349.954106 354.954785 -5.000678
2020-03-31 367.93 375.500 353.819351 353.126452 0.692899
2020-04-01 376.05 364.080 355.101932 353.734982 1.366950
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-05 1.0 1.0 0.0
2019-11-06 1.0 0.0 1.0
2020-03-13 0.0 -1.0 0.0
2020-03-16 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_018_SlowMA_35_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 319.98 320.27 277.448029 277.192015 0.256014
2019-01-09 317.71 319.96 281.511745 279.668889 1.842856
2019-05-17 356.39 354.45 362.549495 362.879257 -0.329762
2019-05-20 351.23 348.11 361.174304 362.058548 -0.884243
2019-06-24 370.27 371.04 357.059886 356.999430 0.060456
2019-06-25 370.75 360.30 357.368469 357.182805 0.185663
2019-07-19 323.40 315.10 360.188502 361.222055 -1.033553
2019-07-22 312.00 310.62 355.467692 358.410772 -2.943080
2019-11-08 288.73 291.57 284.284237 284.110088 0.174149
2019-11-11 289.16 294.18 285.226691 284.669528 0.557163
2020-03-16 306.63 298.84 353.643221 354.954785 -1.311564
2020-03-17 306.18 319.75 350.415295 352.998963 -2.583668
2020-03-31 367.93 375.50 353.416104 353.126452 0.289653
2020-04-01 376.05 364.08 354.431714 353.734982 0.696731
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-17 0.0 -1.0 0.0
2019-05-20 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-08 1.0 1.0 0.0
2019-11-11 1.0 0.0 1.0
2020-03-16 0.0 -1.0 0.0
2020-03-17 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_019_SlowMA_40_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.88 297.57 275.730669 273.083775 2.646894
2019-01-07 302.10 315.34 288.933780 275.293475 13.640304
2019-04-15 350.71 348.87 356.738219 356.900436 -0.162217
2019-04-16 355.00 359.46 357.645479 357.025559 0.619920
2019-04-17 365.05 354.74 356.676986 356.913842 -0.236856
2019-04-18 355.00 360.35 357.901324 357.081783 0.819541
2019-04-22 359.70 377.34 364.380883 358.071805 6.309078
2019-05-13 352.29 345.26 359.311786 364.241495 -4.929709
2019-05-14 348.71 345.61 354.744524 363.331892 -8.587368
2019-06-20 365.91 365.21 358.288204 355.672711 2.615493
2019-06-21 365.00 369.21 361.928802 356.333208 5.595595
2019-07-18 323.76 325.21 353.858302 363.533074 -9.674772
2019-07-19 323.40 315.10 340.938868 361.170290 -20.231422
2019-10-17 304.49 293.35 286.342638 286.001636 0.341002
2019-10-18 289.36 275.30 282.661759 285.479603 -2.817844
2019-10-21 272.89 278.05 281.124506 285.117182 -3.992676
2019-10-31 291.00 287.41 284.323646 283.231255 1.092392
2019-11-01 288.70 286.81 285.152431 283.405828 1.746603
2020-03-11 358.92 349.92 359.463682 360.027331 -0.563649
2020-03-12 326.50 315.25 344.725788 357.843071 -13.117283
2020-03-26 344.00 362.99 350.341988 350.036550 0.305439
2020-03-27 359.09 357.12 352.601326 350.382084 2.219242
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-04-15 0.0 -1.0 0.0
2019-04-16 1.0 1.0 -1.0
2019-04-17 0.0 -1.0 1.0
2019-04-18 1.0 1.0 -1.0
2019-04-22 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-20 1.0 1.0 0.0
2019-06-21 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-10-17 1.0 1.0 0.0
2019-10-18 0.0 -1.0 1.0
2019-10-21 0.0 0.0 -1.0
2019-10-31 1.0 1.0 0.0
2019-11-01 1.0 0.0 1.0
2020-03-11 0.0 -1.0 0.0
2020-03-12 0.0 0.0 -1.0
2020-03-26 1.0 1.0 0.0
2020-03-27 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_020_SlowMA_40_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.10 315.340 277.423898 275.293475 2.130423
2019-01-08 319.98 320.270 285.214224 277.637195 7.577029
2019-05-14 348.71 345.610 361.336947 363.331892 -1.994945
2019-05-15 343.34 354.990 360.182957 362.924651 -2.741694
2019-06-21 365.00 369.210 357.528836 356.333208 1.195628
2019-06-24 370.27 371.040 359.985411 357.050758 2.934653
2019-07-18 323.76 325.210 362.349569 363.533074 -1.183504
2019-07-19 323.40 315.100 353.758739 361.170290 -7.411551
2019-11-04 288.00 292.860 284.370097 283.867008 0.503089
2019-11-05 289.99 288.030 285.035534 284.070081 0.965453
2020-03-12 326.50 315.250 355.726706 357.843071 -2.116365
2020-03-13 330.51 336.295 352.193669 356.791946 -4.598277
2020-03-30 363.00 370.960 352.062324 351.385885 0.676439
2020-03-31 367.93 375.500 356.323720 352.562183 3.761537
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-11-04 1.0 1.0 0.0
2019-11-05 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_021_SlowMA_40_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 319.98 320.27 279.599030 277.637195 1.961835
2019-01-09 317.71 319.96 284.647006 279.835312 4.811694
2019-05-15 343.34 354.99 362.740254 362.924651 -0.184397
2019-05-16 356.37 359.31 362.311473 362.748195 -0.436723
2019-06-24 370.27 371.04 357.862673 357.050758 0.811915
2019-06-25 370.75 360.30 358.167339 357.209288 0.958051
2019-07-19 323.40 315.10 358.402790 361.170290 -2.767500
2019-07-22 312.00 310.62 352.429941 358.704228 -6.274287
2019-11-07 290.70 289.57 284.621493 284.548099 0.073394
2019-11-08 288.73 291.57 285.490057 284.890631 0.599425
2020-03-16 306.63 298.84 349.954106 353.965021 -4.010915
2020-03-17 306.18 319.75 346.178593 352.295996 -6.117403
2020-03-31 367.93 375.50 353.819351 352.562183 1.257168
2020-04-01 376.05 364.08 355.101932 353.124028 1.977904
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-15 0.0 -1.0 0.0
2019-05-16 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-07 1.0 1.0 0.0
2019-11-08 1.0 0.0 1.0
2020-03-16 0.0 -1.0 0.0
2020-03-17 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_022_SlowMA_40_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 317.71 319.96 281.511745 279.835312 1.676433
2019-01-10 314.57 324.66 285.634833 282.156043 3.478790
2019-05-20 351.23 348.11 361.174304 361.648351 -0.474047
2019-05-21 350.95 354.27 360.516751 361.288200 -0.771449
2019-06-24 370.27 371.04 357.059886 357.050758 0.009129
2019-06-25 370.75 360.30 357.368469 357.209288 0.159181
2019-07-19 323.40 315.10 360.188502 361.170290 -0.981788
2019-07-22 312.00 310.62 355.467692 358.704228 -3.236536
2019-11-12 295.32 292.01 285.872720 285.668954 0.203766
2019-11-13 291.03 283.11 285.609604 285.544127 0.065477
2020-03-16 306.63 298.84 353.643221 353.965021 -0.321801
2020-03-17 306.18 319.75 350.415295 352.295996 -1.880701
2020-03-31 367.93 375.50 353.416104 352.562183 0.853921
2020-04-01 376.05 364.08 354.431714 353.124028 1.307686
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-20 0.0 -1.0 0.0
2019-05-21 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-12 1.0 1.0 0.0
2019-11-13 1.0 0.0 1.0
2020-03-16 0.0 -1.0 0.0
2020-03-17 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_023_SlowMA_45_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.88 297.570 275.730669 274.027704 1.702965
2019-01-07 302.10 315.340 288.933780 276.003016 12.930763
2019-05-13 352.29 345.260 359.311786 363.147351 -3.835566
2019-05-14 348.71 345.610 354.744524 362.383472 -7.638948
2019-06-20 365.91 365.210 358.288204 355.793544 2.494660
2019-06-21 365.00 369.210 361.928802 356.377187 5.551616
2019-07-18 323.76 325.210 353.858302 363.121323 -9.263021
2019-07-19 323.40 315.100 340.938868 361.032950 -20.094081
2019-11-01 288.70 286.810 285.152431 284.890309 0.262122
2019-11-04 288.00 292.860 287.721621 285.236820 2.484800
2020-03-12 326.50 315.250 344.725788 355.997124 -11.271336
2020-03-13 330.51 336.295 341.915525 355.140510 -13.224984
2020-03-26 344.00 362.990 350.341988 349.453249 0.888740
2020-03-27 359.09 357.120 352.601326 349.786586 2.814740
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-20 1.0 1.0 0.0
2019-06-21 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-11-01 1.0 1.0 0.0
2019-11-04 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-03-26 1.0 1.0 0.0
2020-03-27 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_024_SlowMA_45_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.10 315.340 277.423898 276.003016 1.420882
2019-01-08 319.98 320.270 285.214224 278.110467 7.103757
2019-05-14 348.71 345.610 361.336947 362.383472 -1.046525
2019-05-15 343.34 354.990 360.182957 362.061458 -1.878501
2019-06-21 365.00 369.210 357.528836 356.377187 1.151649
2019-06-24 370.27 371.040 359.985411 357.015034 2.970377
2019-07-18 323.76 325.210 362.349569 363.121323 -0.771754
2019-07-19 323.40 315.100 353.758739 361.032950 -7.274211
2019-11-06 288.19 288.590 285.681800 285.498775 0.183025
2019-11-07 290.70 289.570 286.388746 285.675786 0.712959
2020-03-12 326.50 315.250 355.726706 355.997124 -0.270417
2020-03-13 330.51 336.295 352.193669 355.140510 -2.946841
2020-03-30 363.00 370.960 352.062324 350.707169 1.355155
2020-03-31 367.93 375.500 356.323720 351.785119 4.538601
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-11-06 1.0 1.0 0.0
2019-11-07 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_025_SlowMA_45_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 319.98 320.27 279.599030 278.110467 1.488563
2019-01-09 317.71 319.96 284.647006 280.094634 4.552372
2019-05-17 356.39 354.45 361.328788 361.615389 -0.286601
2019-05-20 351.23 348.11 359.676440 361.027306 -1.350866
2019-06-24 370.27 371.04 357.862673 357.015034 0.847640
2019-06-25 370.75 360.30 358.167339 357.157930 1.009409
2019-07-19 323.40 315.10 358.402790 361.032950 -2.630160
2019-07-22 312.00 310.62 352.429941 358.840590 -6.410649
2019-11-11 289.16 294.18 286.576300 286.290667 0.285633
2019-11-12 295.32 292.01 287.255512 286.539335 0.716177
2020-03-16 306.63 298.84 349.954106 352.692661 -2.738555
2020-03-17 306.18 319.75 346.178593 351.260371 -5.081778
2020-03-30 363.00 370.96 350.722116 350.707169 0.014946
2020-03-31 367.93 375.50 353.819351 351.785119 2.034233
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-17 0.0 -1.0 0.0
2019-05-20 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-11 1.0 1.0 0.0
2019-11-12 1.0 0.0 1.0
2020-03-16 0.0 -1.0 0.0
2020-03-17 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_026_SlowMA_45_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 317.710 319.96 281.511745 280.094634 1.417111
2019-01-10 314.570 324.66 285.634833 282.199286 3.435547
2019-05-21 350.950 354.27 360.516751 360.733082 -0.216331
2019-05-22 358.010 359.73 360.441823 360.689409 -0.247587
2019-06-24 370.270 371.04 357.059886 357.015034 0.044853
2019-06-25 370.750 360.30 357.368469 357.157930 0.210539
2019-07-19 323.400 315.10 360.188502 361.032950 -0.844448
2019-07-22 312.000 310.62 355.467692 358.840590 -3.372898
2019-11-18 296.000 302.57 288.349271 287.581496 0.767774
2019-11-19 304.010 302.60 289.706483 288.234478 1.472005
2020-03-17 306.180 319.75 350.415295 351.260371 -0.845076
2020-03-18 302.395 315.47 347.087172 349.704268 -2.617096
2020-03-30 363.000 370.96 351.091484 350.707169 0.384315
2020-03-31 367.930 375.50 353.416104 351.785119 1.630986
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-21 0.0 -1.0 0.0
2019-05-22 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-18 1.0 1.0 0.0
2019-11-19 1.0 0.0 1.0
2020-03-17 0.0 -1.0 0.0
2020-03-18 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_027_SlowMA_50_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.88 297.570 275.730669 274.855477 0.875192
2019-01-07 302.10 315.340 288.933780 276.650000 12.283780
2019-05-13 352.29 345.260 359.311786 361.976994 -2.665208
2019-05-14 348.71 345.610 354.744524 361.332954 -6.588431
2019-06-20 365.91 365.210 358.288204 355.773805 2.514398
2019-06-21 365.00 369.210 361.928802 356.301326 5.627477
2019-07-18 323.76 325.210 353.858302 362.689950 -8.831648
2019-07-19 323.40 315.100 340.938868 360.822666 -19.883798
2019-11-04 288.00 292.860 287.721621 286.750361 0.971260
2019-11-05 289.99 288.030 287.824414 286.800544 1.023870
2020-03-12 326.50 315.250 344.725788 354.107398 -9.381610
2020-03-13 330.51 336.295 341.915525 353.408872 -11.493346
2020-03-26 344.00 362.990 350.341988 348.653847 1.688141
2020-03-27 359.09 357.120 352.601326 348.985853 3.615472
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-06-20 1.0 1.0 0.0
2019-06-21 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-11-04 1.0 1.0 0.0
2019-11-05 1.0 0.0 1.0
2020-03-12 0.0 -1.0 0.0
2020-03-13 0.0 0.0 -1.0
2020-03-26 1.0 1.0 0.0
2020-03-27 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_028_SlowMA_50_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 302.10 315.340 277.423898 276.650000 0.773899
2019-01-08 319.98 320.270 285.214224 278.573675 6.640550
2019-05-15 343.34 354.990 360.182957 361.083393 -0.900436
2019-05-16 356.37 359.310 360.024238 361.013629 -0.989391
2019-06-21 365.00 369.210 357.528836 356.301326 1.227510
2019-06-24 370.27 371.040 359.985411 356.879957 3.105454
2019-07-18 323.76 325.210 362.349569 362.689950 -0.340380
2019-07-19 323.40 315.100 353.758739 360.822666 -7.063927
2019-11-08 288.73 291.570 287.330792 287.156715 0.174077
2019-11-11 289.16 294.180 288.576103 287.432144 1.143958
2020-03-13 330.51 336.295 352.193669 353.408872 -1.215203
2020-03-16 306.63 298.840 342.493002 351.268914 -8.775912
2020-03-30 363.00 370.960 352.062324 349.847585 2.214739
2020-03-31 367.93 375.500 356.323720 350.853562 5.470157
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-15 0.0 -1.0 0.0
2019-05-16 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-07-18 0.0 -1.0 0.0
2019-07-19 0.0 0.0 -1.0
2019-11-08 1.0 1.0 0.0
2019-11-11 1.0 0.0 1.0
2020-03-13 0.0 -1.0 0.0
2020-03-16 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_029_SlowMA_50_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 319.98 320.27 279.599030 278.573675 1.025355
2019-01-09 317.71 319.96 284.647006 280.389970 4.257036
2019-05-20 351.23 348.11 359.676440 360.258105 -0.581665
2019-05-21 350.95 354.27 359.000635 360.022620 -1.021985
2019-06-24 370.27 371.04 357.862673 356.879957 0.982716
2019-06-25 370.75 360.30 358.167339 357.014220 1.153119
2019-07-19 323.40 315.10 358.402790 360.822666 -2.419876
2019-07-22 312.00 310.62 352.429941 358.852909 -6.422968
2019-11-15 290.59 295.03 288.089201 287.815298 0.273902
2019-11-18 296.00 302.57 289.899300 288.393925 1.505376
2020-03-16 306.63 298.84 349.954106 351.268914 -1.314808
2020-03-17 306.18 319.75 346.178593 350.032878 -3.854285
2020-03-30 363.00 370.96 350.722116 349.847585 0.874531
2020-03-31 367.93 375.50 353.819351 350.853562 2.965789
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-20 0.0 -1.0 0.0
2019-05-21 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-15 1.0 1.0 0.0
2019-11-18 1.0 0.0 1.0
2020-03-16 0.0 -1.0 0.0
2020-03-17 0.0 0.0 -1.0
2020-03-30 1.0 1.0 0.0
2020-03-31 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_030_SlowMA_50_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 317.710 319.96 281.511745 280.389970 1.121775
2019-01-10 314.570 324.66 285.634833 282.323789 3.311045
2019-05-23 355.500 352.21 359.657839 359.704397 -0.046557
2019-05-24 355.410 354.39 359.156140 359.495472 -0.339331
2019-06-24 370.270 371.04 357.059886 356.879957 0.179929
2019-06-25 370.750 360.30 357.368469 357.014220 0.354249
2019-07-19 323.400 315.10 360.188502 360.822666 -0.634164
2019-07-22 312.000 310.62 355.467692 358.852909 -3.385217
2019-11-19 304.010 302.60 289.706483 288.951035 0.755448
2019-11-20 301.010 305.16 291.178246 289.586691 1.591555
2020-03-18 302.395 315.47 347.087172 348.677470 -1.590298
2020-03-19 324.330 332.03 345.653155 348.024627 -2.371472
2020-03-27 359.090 357.12 349.000061 348.985853 0.014208
2020-03-30 363.000 370.96 351.091484 349.847585 1.243899
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-23 0.0 -1.0 0.0
2019-05-24 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 1.0 0.0 1.0
2019-07-19 0.0 -1.0 0.0
2019-07-22 0.0 0.0 -1.0
2019-11-19 1.0 1.0 0.0
2019-11-20 1.0 0.0 1.0
2020-03-18 0.0 -1.0 0.0
2020-03-19 0.0 0.0 -1.0
2020-03-27 1.0 1.0 0.0
2020-03-30 1.0 0.0 1.0
In [15]:
if verbose:
for key in model_collection:
graph_data = model_collection[key].copy()
title_string = "Exponential Moving Average Crossover Model for " + key
fig = plt.figure(figsize=(16,9))
ylabel = stock_symbol + ' price in $'
ax1 = fig.add_subplot(111, ylabel=ylabel, title=title_string)
graph_data['fast_ma'].plot(ax=ax1, color='b', lw=2.)
graph_data['slow_ma'].plot(ax=ax1, color='r', lw=2.)
graph_data['close_price'].plot(ax=ax1, color='g')
ax1.plot(graph_data.loc[graph_data.entry_exit == 1].index, graph_data.close_price[graph_data.entry_exit == 1], '^', markersize=7, color='k',label='buy')
ax1.plot(graph_data.loc[graph_data.entry_exit == -1].index, graph_data.close_price[graph_data.entry_exit == -1], 'v', markersize=7, color='k',label='sell')
plt.legend(loc='upper left')
plt.show()
Task 4. Back-test Model¶
In [16]:
def trading_portfolio_generation(initial_fund, trading_model):
# Construct a portfolio to track the transactions and returns
portfolio = pd.DataFrame(index=trading_model.index, columns=['trade_action', 'qty_onhand', 'cost_basis', 'sold_transaction', 'gain_loss', 'cash_onhand', 'position_value', 'total_position', 'accumu_return'])
portfolio.iloc[0]['trade_action'] = 0
portfolio.iloc[0]['qty_onhand'] = 0
portfolio.iloc[0]['cost_basis'] = 0.00
portfolio.iloc[0]['sold_transaction'] = 0.00
portfolio.iloc[0]['gain_loss'] = 0.00
portfolio.iloc[0]['cash_onhand'] = initial_capital
portfolio.iloc[0]['position_value'] = 0.00
portfolio.iloc[0]['total_position'] = initial_capital
portfolio.iloc[0]['accumu_return'] = portfolio.iloc[0]['total_position'] - initial_fund
recent_cost = 0
# The conditional parameters below determine how the trading strategy will be carried out
for i in range(1, len(portfolio)):
if (trading_model.iloc[i]['entry_exit'] == 1) and (portfolio.iloc[i-1]['qty_onhand'] == 0):
portfolio.iloc[i]['trade_action'] = 1
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand'] + portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['cost_basis'] = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['sold_transaction'] = 0.00
portfolio.iloc[i]['gain_loss'] = 0.00
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand'] - portfolio.iloc[i]['cost_basis']
recent_cost = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action']
if verbose: print('BOUGHT QTY:', portfolio.iloc[i]['trade_action'], 'on', portfolio.index[i], 'at the price of', trading_model.iloc[i]['open_price'])
elif (trading_model.iloc[i]['entry_exit'] == -1) and (portfolio.iloc[i-1]['qty_onhand'] > 0):
portfolio.iloc[i]['trade_action'] = -1
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand'] + portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['cost_basis'] = 0.00
portfolio.iloc[i]['sold_transaction'] = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action'] * -1
portfolio.iloc[i]['gain_loss'] = (recent_cost + (trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action'])) * -1
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand'] + portfolio.iloc[i]['sold_transaction']
recent_cost = 0.00
if verbose: print('SOLD QTY:', portfolio.iloc[i]['trade_action'], 'on', portfolio.index[i], 'at the price of', trading_model.iloc[i]['open_price'])
else:
portfolio.iloc[i]['trade_action'] = 0
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand']
portfolio.iloc[i]['cost_basis'] = portfolio.iloc[i-1]['cost_basis']
portfolio.iloc[i]['sold_transaction'] = 0.00
portfolio.iloc[i]['gain_loss'] = 0.00
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand']
portfolio.iloc[i]['position_value'] = trading_model.iloc[i]['close_price'] * portfolio.iloc[i]['qty_onhand']
portfolio.iloc[i]['total_position'] = portfolio.iloc[i]['cash_onhand'] + portfolio.iloc[i]['position_value']
portfolio.iloc[i]['accumu_return'] = portfolio.iloc[i]['total_position'] - initial_fund
return portfolio
In [17]:
portfolio_collection = {}
# Build dataframe for reporting model performance summary
performance_summary = pd.DataFrame(columns=['model_name','return_value','return_percent'])
for key in model_collection:
print('Processing portfolio for model:', key)
portfolio_collection[key] = trading_portfolio_generation(initial_capital, model_collection[key])
trade_transactions = portfolio_collection[key][portfolio_collection[key].trade_action != 0]
print(trade_transactions)
print('Accumulated profit/loss for one share of stock with initial capital of $%.0f at the end of modeling period: $%.2f' % (initial_capital, portfolio_collection[key].accumu_return[-1]))
if initial_capital != 0:
return_percentage = portfolio_collection[key].accumu_return[-1] / initial_capital * 100
print('Accumulated return percentage based on the initial capital investment: %.2f%%' % (return_percentage))
else:
return_percentage = None
if trade_transactions.iloc[-1]['trade_action'] == 1:
print('The current status of the model is:', 'Holding a position since', trade_transactions.index.tolist()[-1], '\n')
else:
print('The current status of the model is:', 'Waiting to enter since', trade_transactions.index.tolist()[-1], '\n')
performance_summary = performance_summary.append({'model_name': key, 'return_value': portfolio_collection[key].accumu_return[-1],
'return_percent': return_percentage}, ignore_index=True)
Processing portfolio for model: EMA_001_SlowMA_10_FastMA_05
BOUGHT QTY: 1 on 2019-03-14 00:00:00 at the price of 360.5
SOLD QTY: -1 on 2019-03-28 00:00:00 at the price of 354.485
BOUGHT QTY: 1 on 2019-04-03 00:00:00 at the price of 369.26
SOLD QTY: -1 on 2019-04-15 00:00:00 at the price of 350.71
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-09 00:00:00 at the price of 360.9
BOUGHT QTY: 1 on 2019-06-07 00:00:00 at the price of 357.39
SOLD QTY: -1 on 2019-06-13 00:00:00 at the price of 347.23
BOUGHT QTY: 1 on 2019-06-19 00:00:00 at the price of 361.72
SOLD QTY: -1 on 2019-07-16 00:00:00 at the price of 370.09
BOUGHT QTY: 1 on 2019-09-18 00:00:00 at the price of 294.99
SOLD QTY: -1 on 2019-09-20 00:00:00 at the price of 280.26
BOUGHT QTY: 1 on 2019-10-11 00:00:00 at the price of 284.8
SOLD QTY: -1 on 2019-10-23 00:00:00 at the price of 268.06
BOUGHT QTY: 1 on 2019-10-29 00:00:00 at the price of 281.87
SOLD QTY: -1 on 2019-12-06 00:00:00 at the price of 304.7
BOUGHT QTY: 1 on 2019-12-18 00:00:00 at the price of 316.26
SOLD QTY: -1 on 2020-01-23 00:00:00 at the price of 326.04
BOUGHT QTY: 1 on 2020-01-24 00:00:00 at the price of 348.46
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 366.31
BOUGHT QTY: 1 on 2020-03-03 00:00:00 at the price of 381.03
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 377.77
BOUGHT QTY: 1 on 2020-03-05 00:00:00 at the price of 381.0
SOLD QTY: -1 on 2020-03-09 00:00:00 at the price of 343.86
BOUGHT QTY: 1 on 2020-03-24 00:00:00 at the price of 369.99
SOLD QTY: -1 on 2020-05-26 00:00:00 at the price of 427.77
BOUGHT QTY: 1 on 2020-06-10 00:00:00 at the price of 436.0
SOLD QTY: -1 on 2020-06-15 00:00:00 at the price of 421.4
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 441.82
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-03-14 1 1 360.5 0 0
2019-03-28 -1 0 0 354.485 -6.015
2019-04-03 1 1 369.26 0 0
2019-04-15 -1 0 0 350.71 -18.55
2019-04-23 1 1 375.45 0 0
2019-05-09 -1 0 0 360.9 -14.55
2019-06-07 1 1 357.39 0 0
2019-06-13 -1 0 0 347.23 -10.16
2019-06-19 1 1 361.72 0 0
2019-07-16 -1 0 0 370.09 8.37
2019-09-18 1 1 294.99 0 0
2019-09-20 -1 0 0 280.26 -14.73
2019-10-11 1 1 284.8 0 0
2019-10-23 -1 0 0 268.06 -16.74
2019-10-29 1 1 281.87 0 0
2019-12-06 -1 0 0 304.7 22.83
2019-12-18 1 1 316.26 0 0
2020-01-23 -1 0 0 326.04 9.78
2020-01-24 1 1 348.46 0 0
2020-02-26 -1 0 0 366.31 17.85
2020-03-03 1 1 381.03 0 0
2020-03-04 -1 0 0 377.77 -3.26
2020-03-05 1 1 381 0 0
2020-03-09 -1 0 0 343.86 -37.14
2020-03-24 1 1 369.99 0 0
2020-05-26 -1 0 0 427.77 57.78
2020-06-10 1 1 436 0 0
2020-06-15 -1 0 0 421.4 -14.6
2020-06-17 1 1 441.82 0 0
cash_onhand position_value total_position accumu_return
date
2019-03-14 -360.5 358.82 -1.68 -1.68
2019-03-28 -6.015 0 -6.015 -6.015
2019-04-03 -375.275 369.75 -5.525 -5.525
2019-04-15 -24.565 0 -24.565 -24.565
2019-04-23 -400.015 381.89 -18.125 -18.125
2019-05-09 -39.115 0 -39.115 -39.115
2019-06-07 -396.505 360.87 -35.635 -35.635
2019-06-13 -49.275 0 -49.275 -49.275
2019-06-19 -410.995 363.52 -47.475 -47.475
2019-07-16 -40.905 0 -40.905 -40.905
2019-09-18 -335.895 291.56 -44.335 -44.335
2019-09-20 -55.635 0 -55.635 -55.635
2019-10-11 -340.435 282.93 -57.505 -57.505
2019-10-23 -72.375 0 -72.375 -72.375
2019-10-29 -354.245 281.21 -73.035 -73.035
2019-12-06 -49.545 0 -49.545 -49.545
2019-12-18 -365.805 320.8 -45.005 -45.005
2020-01-23 -39.765 0 -39.765 -39.765
2020-01-24 -388.225 353.16 -35.065 -35.065
2020-02-26 -21.915 0 -21.915 -21.915
2020-03-03 -402.945 368.77 -34.175 -34.175
2020-03-04 -25.175 0 -25.175 -25.175
2020-03-05 -406.175 372.78 -33.395 -33.395
2020-03-09 -62.315 0 -62.315 -62.315
2020-03-24 -432.305 357.32 -74.985 -74.985
2020-05-26 -4.535 0 -4.535 -4.535
2020-06-10 -440.535 434.48 -6.055 -6.055
2020-06-15 -19.135 0 -19.135 -19.135
2020-06-17 -460.955 447.77 -13.185 -13.185
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $24.68
The current status of the model is: Holding a position since 2020-06-17 00:00:00
Processing portfolio for model: EMA_002_SlowMA_15_FastMA_05
BOUGHT QTY: 1 on 2019-01-04 00:00:00 at the price of 281.88
SOLD QTY: -1 on 2019-03-08 00:00:00 at the price of 345.75
BOUGHT QTY: 1 on 2019-03-13 00:00:00 at the price of 355.81
SOLD QTY: -1 on 2019-03-28 00:00:00 at the price of 354.485
BOUGHT QTY: 1 on 2019-04-02 00:00:00 at the price of 366.25
SOLD QTY: -1 on 2019-04-15 00:00:00 at the price of 350.71
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 361.62
BOUGHT QTY: 1 on 2019-06-10 00:00:00 at the price of 363.65
SOLD QTY: -1 on 2019-06-12 00:00:00 at the price of 351.82
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 365.91
SOLD QTY: -1 on 2019-07-17 00:00:00 at the price of 366.25
BOUGHT QTY: 1 on 2019-09-18 00:00:00 at the price of 294.99
SOLD QTY: -1 on 2019-09-19 00:00:00 at the price of 291.56
BOUGHT QTY: 1 on 2019-10-11 00:00:00 at the price of 284.8
SOLD QTY: -1 on 2019-10-23 00:00:00 at the price of 268.06
BOUGHT QTY: 1 on 2019-10-29 00:00:00 at the price of 281.87
SOLD QTY: -1 on 2019-12-11 00:00:00 at the price of 294.49
BOUGHT QTY: 1 on 2019-12-18 00:00:00 at the price of 316.26
SOLD QTY: -1 on 2020-03-10 00:00:00 at the price of 356.425
BOUGHT QTY: 1 on 2020-03-25 00:00:00 at the price of 361.02
SOLD QTY: -1 on 2020-03-26 00:00:00 at the price of 344.0
BOUGHT QTY: 1 on 2020-03-27 00:00:00 at the price of 359.09
SOLD QTY: -1 on 2020-05-27 00:00:00 at the price of 410.38
BOUGHT QTY: 1 on 2020-06-11 00:00:00 at the price of 428.2
SOLD QTY: -1 on 2020-06-15 00:00:00 at the price of 421.4
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 441.82
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-04 1 1 281.88 0 0
2019-03-08 -1 0 0 345.75 63.87
2019-03-13 1 1 355.81 0 0
2019-03-28 -1 0 0 354.485 -1.325
2019-04-02 1 1 366.25 0 0
2019-04-15 -1 0 0 350.71 -15.54
2019-04-23 1 1 375.45 0 0
2019-05-10 -1 0 0 361.62 -13.83
2019-06-10 1 1 363.65 0 0
2019-06-12 -1 0 0 351.82 -11.83
2019-06-20 1 1 365.91 0 0
2019-07-17 -1 0 0 366.25 0.34
2019-09-18 1 1 294.99 0 0
2019-09-19 -1 0 0 291.56 -3.43
2019-10-11 1 1 284.8 0 0
2019-10-23 -1 0 0 268.06 -16.74
2019-10-29 1 1 281.87 0 0
2019-12-11 -1 0 0 294.49 12.62
2019-12-18 1 1 316.26 0 0
2020-03-10 -1 0 0 356.425 40.165
2020-03-25 1 1 361.02 0 0
2020-03-26 -1 0 0 344 -17.02
2020-03-27 1 1 359.09 0 0
2020-05-27 -1 0 0 410.38 51.29
2020-06-11 1 1 428.2 0 0
2020-06-15 -1 0 0 421.4 -6.8
2020-06-17 1 1 441.82 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-04 -281.88 297.57 15.69 15.69
2019-03-08 63.87 0 63.87 63.87
2019-03-13 -291.94 361.21 69.27 69.27
2019-03-28 62.545 0 62.545 62.545
2019-04-02 -303.705 367.72 64.015 64.015
2019-04-15 47.005 0 47.005 47.005
2019-04-23 -328.445 381.89 53.445 53.445
2019-05-10 33.175 0 33.175 33.175
2019-06-10 -330.475 352.01 21.535 21.535
2019-06-12 21.345 0 21.345 21.345
2019-06-20 -344.565 365.21 20.645 20.645
2019-07-17 21.685 0 21.685 21.685
2019-09-18 -273.305 291.56 18.255 18.255
2019-09-19 18.255 0 18.255 18.255
2019-10-11 -266.545 282.93 16.385 16.385
2019-10-23 1.515 0 1.515 1.515
2019-10-29 -280.355 281.21 0.855 0.855
2019-12-11 14.135 0 14.135 14.135
2019-12-18 -302.125 320.8 18.675 18.675
2020-03-10 54.3 0 54.3 54.3
2020-03-25 -306.72 342.39 35.67 35.67
2020-03-26 37.28 0 37.28 37.28
2020-03-27 -321.81 357.12 35.31 35.31
2020-05-27 88.57 0 88.57 88.57
2020-06-11 -339.63 425.56 85.93 85.93
2020-06-15 81.77 0 81.77 81.77
2020-06-17 -360.05 447.77 87.72 87.72
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $125.59
The current status of the model is: Holding a position since 2020-06-17 00:00:00
Processing portfolio for model: EMA_003_SlowMA_15_FastMA_10
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-04-01 00:00:00 at the price of 359.0
BOUGHT QTY: 1 on 2019-04-02 00:00:00 at the price of 366.25
SOLD QTY: -1 on 2019-04-15 00:00:00 at the price of 350.71
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 352.29
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 365.91
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 283.82
SOLD QTY: -1 on 2019-10-24 00:00:00 at the price of 271.81
BOUGHT QTY: 1 on 2019-10-30 00:00:00 at the price of 284.34
SOLD QTY: -1 on 2019-12-12 00:00:00 at the price of 295.67
BOUGHT QTY: 1 on 2019-12-18 00:00:00 at the price of 316.26
SOLD QTY: -1 on 2020-03-10 00:00:00 at the price of 356.425
BOUGHT QTY: 1 on 2020-03-30 00:00:00 at the price of 363.0
SOLD QTY: -1 on 2020-05-29 00:00:00 at the price of 417.46
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 441.82
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-04-01 -1 0 0 359 56.9
2019-04-02 1 1 366.25 0 0
2019-04-15 -1 0 0 350.71 -15.54
2019-04-23 1 1 375.45 0 0
2019-05-13 -1 0 0 352.29 -23.16
2019-06-20 1 1 365.91 0 0
2019-07-19 -1 0 0 323.4 -42.51
2019-10-15 1 1 283.82 0 0
2019-10-24 -1 0 0 271.81 -12.01
2019-10-30 1 1 284.34 0 0
2019-12-12 -1 0 0 295.67 11.33
2019-12-18 1 1 316.26 0 0
2020-03-10 -1 0 0 356.425 40.165
2020-03-30 1 1 363 0 0
2020-05-29 -1 0 0 417.46 54.46
2020-06-17 1 1 441.82 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-04-01 56.9 0 56.9 56.9
2019-04-02 -309.35 367.72 58.37 58.37
2019-04-15 41.36 0 41.36 41.36
2019-04-23 -334.09 381.89 47.8 47.8
2019-05-13 18.2 0 18.2 18.2
2019-06-20 -347.71 365.21 17.5 17.5
2019-07-19 -24.31 0 -24.31 -24.31
2019-10-15 -308.13 284.25 -23.88 -23.88
2019-10-24 -36.32 0 -36.32 -36.32
2019-10-30 -320.66 291.45 -29.21 -29.21
2019-12-12 -24.99 0 -24.99 -24.99
2019-12-18 -341.25 320.8 -20.45 -20.45
2020-03-10 15.175 0 15.175 15.175
2020-03-30 -347.825 370.96 23.135 23.135
2020-05-29 69.635 0 69.635 69.635
2020-06-17 -372.185 447.77 75.585 75.585
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $113.45
The current status of the model is: Holding a position since 2020-06-17 00:00:00
Processing portfolio for model: EMA_004_SlowMA_20_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-03-29 00:00:00 at the price of 357.16
BOUGHT QTY: 1 on 2019-04-02 00:00:00 at the price of 366.25
SOLD QTY: -1 on 2019-04-15 00:00:00 at the price of 350.71
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 361.62
BOUGHT QTY: 1 on 2019-06-10 00:00:00 at the price of 363.65
SOLD QTY: -1 on 2019-06-11 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 365.91
SOLD QTY: -1 on 2019-07-18 00:00:00 at the price of 323.76
BOUGHT QTY: 1 on 2019-10-14 00:00:00 at the price of 283.93
SOLD QTY: -1 on 2019-10-23 00:00:00 at the price of 268.06
BOUGHT QTY: 1 on 2019-10-30 00:00:00 at the price of 284.34
SOLD QTY: -1 on 2019-12-11 00:00:00 at the price of 294.49
BOUGHT QTY: 1 on 2019-12-18 00:00:00 at the price of 316.26
SOLD QTY: -1 on 2020-03-10 00:00:00 at the price of 356.425
BOUGHT QTY: 1 on 2020-03-27 00:00:00 at the price of 359.09
SOLD QTY: -1 on 2020-05-27 00:00:00 at the price of 410.38
BOUGHT QTY: 1 on 2020-06-11 00:00:00 at the price of 428.2
SOLD QTY: -1 on 2020-06-15 00:00:00 at the price of 421.4
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 441.82
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-03-29 -1 0 0 357.16 55.06
2019-04-02 1 1 366.25 0 0
2019-04-15 -1 0 0 350.71 -15.54
2019-04-23 1 1 375.45 0 0
2019-05-10 -1 0 0 361.62 -13.83
2019-06-10 1 1 363.65 0 0
2019-06-11 -1 0 0 355 -8.65
2019-06-20 1 1 365.91 0 0
2019-07-18 -1 0 0 323.76 -42.15
2019-10-14 1 1 283.93 0 0
2019-10-23 -1 0 0 268.06 -15.87
2019-10-30 1 1 284.34 0 0
2019-12-11 -1 0 0 294.49 10.15
2019-12-18 1 1 316.26 0 0
2020-03-10 -1 0 0 356.425 40.165
2020-03-27 1 1 359.09 0 0
2020-05-27 -1 0 0 410.38 51.29
2020-06-11 1 1 428.2 0 0
2020-06-15 -1 0 0 421.4 -6.8
2020-06-17 1 1 441.82 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-03-29 55.06 0 55.06 55.06
2019-04-02 -311.19 367.72 56.53 56.53
2019-04-15 39.52 0 39.52 39.52
2019-04-23 -335.93 381.89 45.96 45.96
2019-05-10 25.69 0 25.69 25.69
2019-06-10 -337.96 352.01 14.05 14.05
2019-06-11 17.04 0 17.04 17.04
2019-06-20 -348.87 365.21 16.34 16.34
2019-07-18 -25.11 0 -25.11 -25.11
2019-10-14 -309.04 285.53 -23.51 -23.51
2019-10-23 -40.98 0 -40.98 -40.98
2019-10-30 -325.32 291.45 -33.87 -33.87
2019-12-11 -30.83 0 -30.83 -30.83
2019-12-18 -347.09 320.8 -26.29 -26.29
2020-03-10 9.335 0 9.335 9.335
2020-03-27 -349.755 357.12 7.365 7.365
2020-05-27 60.625 0 60.625 60.625
2020-06-11 -367.575 425.56 57.985 57.985
2020-06-15 53.825 0 53.825 53.825
2020-06-17 -387.995 447.77 59.775 59.775
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $97.65
The current status of the model is: Holding a position since 2020-06-17 00:00:00
Processing portfolio for model: EMA_005_SlowMA_20_FastMA_10
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-04-16 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-21 00:00:00 at the price of 365.0
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 283.12
SOLD QTY: -1 on 2019-10-23 00:00:00 at the price of 268.06
BOUGHT QTY: 1 on 2019-10-31 00:00:00 at the price of 291.0
SOLD QTY: -1 on 2020-03-10 00:00:00 at the price of 356.425
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
SOLD QTY: -1 on 2020-06-01 00:00:00 at the price of 418.83
BOUGHT QTY: 1 on 2020-06-11 00:00:00 at the price of 428.2
SOLD QTY: -1 on 2020-06-12 00:00:00 at the price of 429.0
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 441.82
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-04-16 -1 0 0 355 52.9
2019-04-23 1 1 375.45 0 0
2019-05-14 -1 0 0 348.71 -26.74
2019-06-21 1 1 365 0 0
2019-07-19 -1 0 0 323.4 -41.6
2019-10-16 1 1 283.12 0 0
2019-10-23 -1 0 0 268.06 -15.06
2019-10-31 1 1 291 0 0
2020-03-10 -1 0 0 356.425 65.425
2020-03-31 1 1 367.93 0 0
2020-06-01 -1 0 0 418.83 50.9
2020-06-11 1 1 428.2 0 0
2020-06-12 -1 0 0 429 0.8
2020-06-17 1 1 441.82 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-04-16 52.9 0 52.9 52.9
2019-04-23 -322.55 381.89 59.34 59.34
2019-05-14 26.16 0 26.16 26.16
2019-06-21 -338.84 369.21 30.37 30.37
2019-07-19 -15.44 0 -15.44 -15.44
2019-10-16 -298.56 286.28 -12.28 -12.28
2019-10-23 -30.5 0 -30.5 -30.5
2019-10-31 -321.5 287.41 -34.09 -34.09
2020-03-10 34.925 0 34.925 34.925
2020-03-31 -333.005 375.5 42.495 42.495
2020-06-01 85.825 0 85.825 85.825
2020-06-11 -342.375 425.56 83.185 83.185
2020-06-12 86.625 0 86.625 86.625
2020-06-17 -355.195 447.77 92.575 92.575
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $130.44
The current status of the model is: Holding a position since 2020-06-17 00:00:00
Processing portfolio for model: EMA_006_SlowMA_20_FastMA_15
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-04-16 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 370.27
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-10-18 00:00:00 at the price of 289.36
SOLD QTY: -1 on 2019-10-21 00:00:00 at the price of 272.89
BOUGHT QTY: 1 on 2019-10-31 00:00:00 at the price of 291.0
SOLD QTY: -1 on 2020-03-12 00:00:00 at the price of 326.5
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 376.05
SOLD QTY: -1 on 2020-06-05 00:00:00 at the price of 407.29
BOUGHT QTY: 1 on 2020-06-11 00:00:00 at the price of 428.2
SOLD QTY: -1 on 2020-06-15 00:00:00 at the price of 421.4
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 441.82
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-04-16 -1 0 0 355 35.02
2019-04-23 1 1 375.45 0 0
2019-05-14 -1 0 0 348.71 -26.74
2019-06-24 1 1 370.27 0 0
2019-07-19 -1 0 0 323.4 -46.87
2019-10-18 1 1 289.36 0 0
2019-10-21 -1 0 0 272.89 -16.47
2019-10-31 1 1 291 0 0
2020-03-12 -1 0 0 326.5 35.5
2020-04-01 1 1 376.05 0 0
2020-06-05 -1 0 0 407.29 31.24
2020-06-11 1 1 428.2 0 0
2020-06-15 -1 0 0 421.4 -6.8
2020-06-17 1 1 441.82 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-04-16 35.02 0 35.02 35.02
2019-04-23 -340.43 381.89 41.46 41.46
2019-05-14 8.28 0 8.28 8.28
2019-06-24 -361.99 371.04 9.05 9.05
2019-07-19 -38.59 0 -38.59 -38.59
2019-10-18 -327.95 275.3 -52.65 -52.65
2019-10-21 -55.06 0 -55.06 -55.06
2019-10-31 -346.06 287.41 -58.65 -58.65
2020-03-12 -19.56 0 -19.56 -19.56
2020-04-01 -395.61 364.08 -31.53 -31.53
2020-06-05 11.68 0 11.68 11.68
2020-06-11 -416.52 425.56 9.04 9.04
2020-06-15 4.88 0 4.88 4.88
2020-06-17 -436.94 447.77 10.83 10.83
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $48.70
The current status of the model is: Holding a position since 2020-06-17 00:00:00
Processing portfolio for model: EMA_007_SlowMA_25_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-04-01 00:00:00 at the price of 359.0
BOUGHT QTY: 1 on 2019-04-02 00:00:00 at the price of 366.25
SOLD QTY: -1 on 2019-04-15 00:00:00 at the price of 350.71
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 352.29
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 365.91
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 283.82
SOLD QTY: -1 on 2019-10-23 00:00:00 at the price of 268.06
BOUGHT QTY: 1 on 2019-10-30 00:00:00 at the price of 284.34
SOLD QTY: -1 on 2019-12-12 00:00:00 at the price of 295.67
BOUGHT QTY: 1 on 2019-12-17 00:00:00 at the price of 307.36
SOLD QTY: -1 on 2020-03-10 00:00:00 at the price of 356.425
BOUGHT QTY: 1 on 2020-03-27 00:00:00 at the price of 359.09
SOLD QTY: -1 on 2020-05-29 00:00:00 at the price of 417.46
BOUGHT QTY: 1 on 2020-06-10 00:00:00 at the price of 436.0
SOLD QTY: -1 on 2020-06-15 00:00:00 at the price of 421.4
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 441.82
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-04-01 -1 0 0 359 56.9
2019-04-02 1 1 366.25 0 0
2019-04-15 -1 0 0 350.71 -15.54
2019-04-23 1 1 375.45 0 0
2019-05-13 -1 0 0 352.29 -23.16
2019-06-20 1 1 365.91 0 0
2019-07-19 -1 0 0 323.4 -42.51
2019-10-15 1 1 283.82 0 0
2019-10-23 -1 0 0 268.06 -15.76
2019-10-30 1 1 284.34 0 0
2019-12-12 -1 0 0 295.67 11.33
2019-12-17 1 1 307.36 0 0
2020-03-10 -1 0 0 356.425 49.065
2020-03-27 1 1 359.09 0 0
2020-05-29 -1 0 0 417.46 58.37
2020-06-10 1 1 436 0 0
2020-06-15 -1 0 0 421.4 -14.6
2020-06-17 1 1 441.82 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-04-01 56.9 0 56.9 56.9
2019-04-02 -309.35 367.72 58.37 58.37
2019-04-15 41.36 0 41.36 41.36
2019-04-23 -334.09 381.89 47.8 47.8
2019-05-13 18.2 0 18.2 18.2
2019-06-20 -347.71 365.21 17.5 17.5
2019-07-19 -24.31 0 -24.31 -24.31
2019-10-15 -308.13 284.25 -23.88 -23.88
2019-10-23 -40.07 0 -40.07 -40.07
2019-10-30 -324.41 291.45 -32.96 -32.96
2019-12-12 -28.74 0 -28.74 -28.74
2019-12-17 -336.1 315.48 -20.62 -20.62
2020-03-10 20.325 0 20.325 20.325
2020-03-27 -338.765 357.12 18.355 18.355
2020-05-29 78.695 0 78.695 78.695
2020-06-10 -357.305 434.48 77.175 77.175
2020-06-15 64.095 0 64.095 64.095
2020-06-17 -377.725 447.77 70.045 70.045
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $107.91
The current status of the model is: Holding a position since 2020-06-17 00:00:00
Processing portfolio for model: EMA_008_SlowMA_25_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-04-16 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-21 00:00:00 at the price of 365.0
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-10-18 00:00:00 at the price of 289.36
SOLD QTY: -1 on 2019-10-23 00:00:00 at the price of 268.06
BOUGHT QTY: 1 on 2019-10-31 00:00:00 at the price of 291.0
SOLD QTY: -1 on 2020-03-12 00:00:00 at the price of 326.5
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
SOLD QTY: -1 on 2020-06-05 00:00:00 at the price of 407.29
BOUGHT QTY: 1 on 2020-06-11 00:00:00 at the price of 428.2
SOLD QTY: -1 on 2020-06-15 00:00:00 at the price of 421.4
BOUGHT QTY: 1 on 2020-06-16 00:00:00 at the price of 425.76
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-04-16 -1 0 0 355 35.02
2019-04-23 1 1 375.45 0 0
2019-05-14 -1 0 0 348.71 -26.74
2019-06-21 1 1 365 0 0
2019-07-19 -1 0 0 323.4 -41.6
2019-10-18 1 1 289.36 0 0
2019-10-23 -1 0 0 268.06 -21.3
2019-10-31 1 1 291 0 0
2020-03-12 -1 0 0 326.5 35.5
2020-03-31 1 1 367.93 0 0
2020-06-05 -1 0 0 407.29 39.36
2020-06-11 1 1 428.2 0 0
2020-06-15 -1 0 0 421.4 -6.8
2020-06-16 1 1 425.76 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-04-16 35.02 0 35.02 35.02
2019-04-23 -340.43 381.89 41.46 41.46
2019-05-14 8.28 0 8.28 8.28
2019-06-21 -356.72 369.21 12.49 12.49
2019-07-19 -33.32 0 -33.32 -33.32
2019-10-18 -322.68 275.3 -47.38 -47.38
2019-10-23 -54.62 0 -54.62 -54.62
2019-10-31 -345.62 287.41 -58.21 -58.21
2020-03-12 -19.12 0 -19.12 -19.12
2020-03-31 -387.05 375.5 -11.55 -11.55
2020-06-05 20.24 0 20.24 20.24
2020-06-11 -407.96 425.56 17.6 17.6
2020-06-15 13.44 0 13.44 13.44
2020-06-16 -412.32 436.13 23.81 23.81
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $73.32
The current status of the model is: Holding a position since 2020-06-16 00:00:00
Processing portfolio for model: EMA_009_SlowMA_25_FastMA_15
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-04-18 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-22 00:00:00 at the price of 359.7
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 370.27
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-11-01 00:00:00 at the price of 288.7
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 376.05
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-04-18 -1 0 0 355 35.02
2019-04-22 1 1 359.7 0 0
2019-05-14 -1 0 0 348.71 -10.99
2019-06-24 1 1 370.27 0 0
2019-07-19 -1 0 0 323.4 -46.87
2019-11-01 1 1 288.7 0 0
2020-03-13 -1 0 0 330.51 41.81
2020-04-01 1 1 376.05 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-04-18 35.02 0 35.02 35.02
2019-04-22 -324.68 377.34 52.66 52.66
2019-05-14 24.03 0 24.03 24.03
2019-06-24 -346.24 371.04 24.8 24.8
2019-07-19 -22.84 0 -22.84 -22.84
2019-11-01 -311.54 286.81 -24.73 -24.73
2020-03-13 18.97 0 18.97 18.97
2020-04-01 -357.08 364.08 7 7
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $128.56
The current status of the model is: Holding a position since 2020-04-01 00:00:00
Processing portfolio for model: EMA_010_SlowMA_25_FastMA_20
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 317.71
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 343.34
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-05 00:00:00 at the price of 289.99
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-04-02 00:00:00 at the price of 364.08
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 317.71 0 0
2019-05-15 -1 0 0 343.34 25.63
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-05 1 1 289.99 0 0
2020-03-13 -1 0 0 330.51 40.52
2020-04-02 1 1 364.08 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -317.71 319.96 2.25 2.25
2019-05-15 25.63 0 25.63 25.63
2019-06-25 -345.12 360.3 15.18 15.18
2019-07-22 -33.12 0 -33.12 -33.12
2019-11-05 -323.11 288.03 -35.08 -35.08
2020-03-13 7.4 0 7.4 7.4
2020-04-02 -356.68 370.08 13.4 13.4
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $128.96
The current status of the model is: Holding a position since 2020-04-02 00:00:00
Processing portfolio for model: EMA_011_SlowMA_30_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-04-16 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 352.29
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 365.91
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 283.12
SOLD QTY: -1 on 2019-10-22 00:00:00 at the price of 271.159
BOUGHT QTY: 1 on 2019-10-31 00:00:00 at the price of 291.0
SOLD QTY: -1 on 2020-03-10 00:00:00 at the price of 356.425
BOUGHT QTY: 1 on 2020-03-27 00:00:00 at the price of 359.09
SOLD QTY: -1 on 2020-05-29 00:00:00 at the price of 417.46
BOUGHT QTY: 1 on 2020-06-02 00:00:00 at the price of 425.87
SOLD QTY: -1 on 2020-06-05 00:00:00 at the price of 407.29
BOUGHT QTY: 1 on 2020-06-10 00:00:00 at the price of 436.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-04-16 -1 0 0 355 52.9
2019-04-23 1 1 375.45 0 0
2019-05-13 -1 0 0 352.29 -23.16
2019-06-20 1 1 365.91 0 0
2019-07-19 -1 0 0 323.4 -42.51
2019-10-16 1 1 283.12 0 0
2019-10-22 -1 0 0 271.159 -11.961
2019-10-31 1 1 291 0 0
2020-03-10 -1 0 0 356.425 65.425
2020-03-27 1 1 359.09 0 0
2020-05-29 -1 0 0 417.46 58.37
2020-06-02 1 1 425.87 0 0
2020-06-05 -1 0 0 407.29 -18.58
2020-06-10 1 1 436 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-04-16 52.9 0 52.9 52.9
2019-04-23 -322.55 381.89 59.34 59.34
2019-05-13 29.74 0 29.74 29.74
2019-06-20 -336.17 365.21 29.04 29.04
2019-07-19 -12.77 0 -12.77 -12.77
2019-10-16 -295.89 286.28 -9.61 -9.61
2019-10-22 -24.731 0 -24.731 -24.731
2019-10-31 -315.731 287.41 -28.321 -28.321
2020-03-10 40.694 0 40.694 40.694
2020-03-27 -318.396 357.12 38.724 38.724
2020-05-29 99.064 0 99.064 99.064
2020-06-02 -326.806 427.31 100.504 100.504
2020-06-05 80.484 0 80.484 80.484
2020-06-10 -355.516 434.48 78.964 78.964
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $130.12
The current status of the model is: Holding a position since 2020-06-10 00:00:00
Processing portfolio for model: EMA_012_SlowMA_30_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-04-18 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 370.27
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-11-01 00:00:00 at the price of 288.7
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-04-18 -1 0 0 355 35.02
2019-04-23 1 1 375.45 0 0
2019-05-14 -1 0 0 348.71 -26.74
2019-06-24 1 1 370.27 0 0
2019-07-19 -1 0 0 323.4 -46.87
2019-11-01 1 1 288.7 0 0
2020-03-13 -1 0 0 330.51 41.81
2020-03-31 1 1 367.93 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-04-18 35.02 0 35.02 35.02
2019-04-23 -340.43 381.89 41.46 41.46
2019-05-14 8.28 0 8.28 8.28
2019-06-24 -361.99 371.04 9.05 9.05
2019-07-19 -38.59 0 -38.59 -38.59
2019-11-01 -327.29 286.81 -40.48 -40.48
2020-03-13 3.22 0 3.22 3.22
2020-03-31 -364.71 375.5 10.79 10.79
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $120.93
The current status of the model is: Holding a position since 2020-03-31 00:00:00
Processing portfolio for model: EMA_013_SlowMA_30_FastMA_15
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 343.34
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 370.27
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-05 00:00:00 at the price of 289.99
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 376.05
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-05-15 -1 0 0 343.34 23.36
2019-06-24 1 1 370.27 0 0
2019-07-22 -1 0 0 312 -58.27
2019-11-05 1 1 289.99 0 0
2020-03-13 -1 0 0 330.51 40.52
2020-04-01 1 1 376.05 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-05-15 23.36 0 23.36 23.36
2019-06-24 -346.91 371.04 24.13 24.13
2019-07-22 -34.91 0 -34.91 -34.91
2019-11-05 -324.9 288.03 -36.87 -36.87
2020-03-13 5.61 0 5.61 5.61
2020-04-01 -370.44 364.08 -6.36 -6.36
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $115.20
The current status of the model is: Holding a position since 2020-04-01 00:00:00
Processing portfolio for model: EMA_014_SlowMA_30_FastMA_20
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 317.71
SOLD QTY: -1 on 2019-05-16 00:00:00 at the price of 356.37
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-07 00:00:00 at the price of 290.7
SOLD QTY: -1 on 2020-03-17 00:00:00 at the price of 306.18
BOUGHT QTY: 1 on 2020-04-02 00:00:00 at the price of 364.08
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 317.71 0 0
2019-05-16 -1 0 0 356.37 38.66
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-07 1 1 290.7 0 0
2020-03-17 -1 0 0 306.18 15.48
2020-04-02 1 1 364.08 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -317.71 319.96 2.25 2.25
2019-05-16 38.66 0 38.66 38.66
2019-06-25 -332.09 360.3 28.21 28.21
2019-07-22 -20.09 0 -20.09 -20.09
2019-11-07 -310.79 289.57 -21.22 -21.22
2020-03-17 -4.61 0 -4.61 -4.61
2020-04-02 -368.69 370.08 1.39 1.39
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $116.95
The current status of the model is: Holding a position since 2020-04-02 00:00:00
Processing portfolio for model: EMA_015_SlowMA_35_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-04-16 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-23 00:00:00 at the price of 375.45
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 352.29
BOUGHT QTY: 1 on 2019-06-21 00:00:00 at the price of 365.0
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-10-18 00:00:00 at the price of 289.36
SOLD QTY: -1 on 2019-10-21 00:00:00 at the price of 272.89
BOUGHT QTY: 1 on 2019-10-31 00:00:00 at the price of 291.0
SOLD QTY: -1 on 2020-03-12 00:00:00 at the price of 326.5
BOUGHT QTY: 1 on 2020-03-27 00:00:00 at the price of 359.09
SOLD QTY: -1 on 2020-06-08 00:00:00 at the price of 416.0
BOUGHT QTY: 1 on 2020-06-10 00:00:00 at the price of 436.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-04-16 -1 0 0 355 52.9
2019-04-23 1 1 375.45 0 0
2019-05-13 -1 0 0 352.29 -23.16
2019-06-21 1 1 365 0 0
2019-07-19 -1 0 0 323.4 -41.6
2019-10-18 1 1 289.36 0 0
2019-10-21 -1 0 0 272.89 -16.47
2019-10-31 1 1 291 0 0
2020-03-12 -1 0 0 326.5 35.5
2020-03-27 1 1 359.09 0 0
2020-06-08 -1 0 0 416 56.91
2020-06-10 1 1 436 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-04-16 52.9 0 52.9 52.9
2019-04-23 -322.55 381.89 59.34 59.34
2019-05-13 29.74 0 29.74 29.74
2019-06-21 -335.26 369.21 33.95 33.95
2019-07-19 -11.86 0 -11.86 -11.86
2019-10-18 -301.22 275.3 -25.92 -25.92
2019-10-21 -28.33 0 -28.33 -28.33
2019-10-31 -319.33 287.41 -31.92 -31.92
2020-03-12 7.17 0 7.17 7.17
2020-03-27 -351.92 357.12 5.2 5.2
2020-06-08 64.08 0 64.08 64.08
2020-06-10 -371.92 434.48 62.56 62.56
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $113.72
The current status of the model is: Holding a position since 2020-06-10 00:00:00
Processing portfolio for model: EMA_016_SlowMA_35_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 370.27
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-11-04 00:00:00 at the price of 288.0
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-05-14 -1 0 0 348.71 28.73
2019-06-24 1 1 370.27 0 0
2019-07-19 -1 0 0 323.4 -46.87
2019-11-04 1 1 288 0 0
2020-03-13 -1 0 0 330.51 42.51
2020-03-31 1 1 367.93 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-05-14 28.73 0 28.73 28.73
2019-06-24 -341.54 371.04 29.5 29.5
2019-07-19 -18.14 0 -18.14 -18.14
2019-11-04 -306.14 292.86 -13.28 -13.28
2020-03-13 24.37 0 24.37 24.37
2020-03-31 -343.56 375.5 31.94 31.94
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $142.08
The current status of the model is: Holding a position since 2020-03-31 00:00:00
Processing portfolio for model: EMA_017_SlowMA_35_FastMA_15
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 317.71
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 343.34
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-06 00:00:00 at the price of 288.19
SOLD QTY: -1 on 2020-03-16 00:00:00 at the price of 306.63
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 376.05
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 317.71 0 0
2019-05-15 -1 0 0 343.34 25.63
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-06 1 1 288.19 0 0
2020-03-16 -1 0 0 306.63 18.44
2020-04-01 1 1 376.05 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -317.71 319.96 2.25 2.25
2019-05-15 25.63 0 25.63 25.63
2019-06-25 -345.12 360.3 15.18 15.18
2019-07-22 -33.12 0 -33.12 -33.12
2019-11-06 -321.31 288.59 -32.72 -32.72
2020-03-16 -14.68 0 -14.68 -14.68
2020-04-01 -390.73 364.08 -26.65 -26.65
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $94.91
The current status of the model is: Holding a position since 2020-04-01 00:00:00
Processing portfolio for model: EMA_018_SlowMA_35_FastMA_20
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 317.71
SOLD QTY: -1 on 2019-05-20 00:00:00 at the price of 351.23
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-11 00:00:00 at the price of 289.16
SOLD QTY: -1 on 2020-03-17 00:00:00 at the price of 306.18
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 376.05
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 317.71 0 0
2019-05-20 -1 0 0 351.23 33.52
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-11 1 1 289.16 0 0
2020-03-17 -1 0 0 306.18 17.02
2020-04-01 1 1 376.05 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -317.71 319.96 2.25 2.25
2019-05-20 33.52 0 33.52 33.52
2019-06-25 -337.23 360.3 23.07 23.07
2019-07-22 -25.23 0 -25.23 -25.23
2019-11-11 -314.39 294.18 -20.21 -20.21
2020-03-17 -8.21 0 -8.21 -8.21
2020-04-01 -384.26 364.08 -20.18 -20.18
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $101.38
The current status of the model is: Holding a position since 2020-04-01 00:00:00
Processing portfolio for model: EMA_019_SlowMA_40_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-04-16 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-17 00:00:00 at the price of 365.05
SOLD QTY: -1 on 2019-04-18 00:00:00 at the price of 355.0
BOUGHT QTY: 1 on 2019-04-22 00:00:00 at the price of 359.7
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-21 00:00:00 at the price of 365.0
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-10-18 00:00:00 at the price of 289.36
SOLD QTY: -1 on 2019-10-21 00:00:00 at the price of 272.89
BOUGHT QTY: 1 on 2019-11-01 00:00:00 at the price of 288.7
SOLD QTY: -1 on 2020-03-12 00:00:00 at the price of 326.5
BOUGHT QTY: 1 on 2020-03-27 00:00:00 at the price of 359.09
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-04-16 -1 0 0 355 52.9
2019-04-17 1 1 365.05 0 0
2019-04-18 -1 0 0 355 -10.05
2019-04-22 1 1 359.7 0 0
2019-05-14 -1 0 0 348.71 -10.99
2019-06-21 1 1 365 0 0
2019-07-19 -1 0 0 323.4 -41.6
2019-10-18 1 1 289.36 0 0
2019-10-21 -1 0 0 272.89 -16.47
2019-11-01 1 1 288.7 0 0
2020-03-12 -1 0 0 326.5 37.8
2020-03-27 1 1 359.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-04-16 52.9 0 52.9 52.9
2019-04-17 -312.15 354.74 42.59 42.59
2019-04-18 42.85 0 42.85 42.85
2019-04-22 -316.85 377.34 60.49 60.49
2019-05-14 31.86 0 31.86 31.86
2019-06-21 -333.14 369.21 36.07 36.07
2019-07-19 -9.74 0 -9.74 -9.74
2019-10-18 -299.1 275.3 -23.8 -23.8
2019-10-21 -26.21 0 -26.21 -26.21
2019-11-01 -314.91 286.81 -28.1 -28.1
2020-03-12 11.59 0 11.59 11.59
2020-03-27 -347.5 357.12 9.62 9.62
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $138.14
The current status of the model is: Holding a position since 2020-03-27 00:00:00
Processing portfolio for model: EMA_020_SlowMA_40_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 343.34
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 370.27
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-11-05 00:00:00 at the price of 289.99
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-05-15 -1 0 0 343.34 23.36
2019-06-24 1 1 370.27 0 0
2019-07-19 -1 0 0 323.4 -46.87
2019-11-05 1 1 289.99 0 0
2020-03-13 -1 0 0 330.51 40.52
2020-03-31 1 1 367.93 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-05-15 23.36 0 23.36 23.36
2019-06-24 -346.91 371.04 24.13 24.13
2019-07-19 -23.51 0 -23.51 -23.51
2019-11-05 -313.5 288.03 -25.47 -25.47
2020-03-13 17.01 0 17.01 17.01
2020-03-31 -350.92 375.5 24.58 24.58
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $134.72
The current status of the model is: Holding a position since 2020-03-31 00:00:00
Processing portfolio for model: EMA_021_SlowMA_40_FastMA_15
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 317.71
SOLD QTY: -1 on 2019-05-16 00:00:00 at the price of 356.37
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-08 00:00:00 at the price of 288.73
SOLD QTY: -1 on 2020-03-17 00:00:00 at the price of 306.18
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 376.05
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 317.71 0 0
2019-05-16 -1 0 0 356.37 38.66
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-08 1 1 288.73 0 0
2020-03-17 -1 0 0 306.18 17.45
2020-04-01 1 1 376.05 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -317.71 319.96 2.25 2.25
2019-05-16 38.66 0 38.66 38.66
2019-06-25 -332.09 360.3 28.21 28.21
2019-07-22 -20.09 0 -20.09 -20.09
2019-11-08 -308.82 291.57 -17.25 -17.25
2020-03-17 -2.64 0 -2.64 -2.64
2020-04-01 -378.69 364.08 -14.61 -14.61
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $106.95
The current status of the model is: Holding a position since 2020-04-01 00:00:00
Processing portfolio for model: EMA_022_SlowMA_40_FastMA_20
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 314.57
SOLD QTY: -1 on 2019-05-21 00:00:00 at the price of 350.95
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-13 00:00:00 at the price of 291.03
SOLD QTY: -1 on 2020-03-17 00:00:00 at the price of 306.18
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 376.05
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 314.57 0 0
2019-05-21 -1 0 0 350.95 36.38
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-13 1 1 291.03 0 0
2020-03-17 -1 0 0 306.18 15.15
2020-04-01 1 1 376.05 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -314.57 324.66 10.09 10.09
2019-05-21 36.38 0 36.38 36.38
2019-06-25 -334.37 360.3 25.93 25.93
2019-07-22 -22.37 0 -22.37 -22.37
2019-11-13 -313.4 283.11 -30.29 -30.29
2020-03-17 -7.22 0 -7.22 -7.22
2020-04-01 -383.27 364.08 -19.19 -19.19
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $102.37
The current status of the model is: Holding a position since 2020-04-01 00:00:00
Processing portfolio for model: EMA_023_SlowMA_45_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-21 00:00:00 at the price of 365.0
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-11-04 00:00:00 at the price of 288.0
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-03-27 00:00:00 at the price of 359.09
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-05-14 -1 0 0 348.71 46.61
2019-06-21 1 1 365 0 0
2019-07-19 -1 0 0 323.4 -41.6
2019-11-04 1 1 288 0 0
2020-03-13 -1 0 0 330.51 42.51
2020-03-27 1 1 359.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-05-14 46.61 0 46.61 46.61
2019-06-21 -318.39 369.21 50.82 50.82
2019-07-19 5.01 0 5.01 5.01
2019-11-04 -282.99 292.86 9.87 9.87
2020-03-13 47.52 0 47.52 47.52
2020-03-27 -311.57 357.12 45.55 45.55
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $174.07
The current status of the model is: Holding a position since 2020-03-27 00:00:00
Processing portfolio for model: EMA_024_SlowMA_45_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 343.34
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 370.27
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-11-07 00:00:00 at the price of 290.7
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-05-15 -1 0 0 343.34 23.36
2019-06-24 1 1 370.27 0 0
2019-07-19 -1 0 0 323.4 -46.87
2019-11-07 1 1 290.7 0 0
2020-03-13 -1 0 0 330.51 39.81
2020-03-31 1 1 367.93 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-05-15 23.36 0 23.36 23.36
2019-06-24 -346.91 371.04 24.13 24.13
2019-07-19 -23.51 0 -23.51 -23.51
2019-11-07 -314.21 289.57 -24.64 -24.64
2020-03-13 16.3 0 16.3 16.3
2020-03-31 -351.63 375.5 23.87 23.87
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $134.01
The current status of the model is: Holding a position since 2020-03-31 00:00:00
Processing portfolio for model: EMA_025_SlowMA_45_FastMA_15
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 317.71
SOLD QTY: -1 on 2019-05-20 00:00:00 at the price of 351.23
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-12 00:00:00 at the price of 295.32
SOLD QTY: -1 on 2020-03-17 00:00:00 at the price of 306.18
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 317.71 0 0
2019-05-20 -1 0 0 351.23 33.52
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-12 1 1 295.32 0 0
2020-03-17 -1 0 0 306.18 10.86
2020-03-31 1 1 367.93 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -317.71 319.96 2.25 2.25
2019-05-20 33.52 0 33.52 33.52
2019-06-25 -337.23 360.3 23.07 23.07
2019-07-22 -25.23 0 -25.23 -25.23
2019-11-12 -320.55 292.01 -28.54 -28.54
2020-03-17 -14.37 0 -14.37 -14.37
2020-03-31 -382.3 375.5 -6.8 -6.8
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $103.34
The current status of the model is: Holding a position since 2020-03-31 00:00:00
Processing portfolio for model: EMA_026_SlowMA_45_FastMA_20
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 314.57
SOLD QTY: -1 on 2019-05-22 00:00:00 at the price of 358.01
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-19 00:00:00 at the price of 304.01
SOLD QTY: -1 on 2020-03-18 00:00:00 at the price of 302.395
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 314.57 0 0
2019-05-22 -1 0 0 358.01 43.44
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-19 1 1 304.01 0 0
2020-03-18 -1 0 0 302.395 -1.615
2020-03-31 1 1 367.93 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -314.57 324.66 10.09 10.09
2019-05-22 43.44 0 43.44 43.44
2019-06-25 -327.31 360.3 32.99 32.99
2019-07-22 -15.31 0 -15.31 -15.31
2019-11-19 -319.32 302.6 -16.72 -16.72
2020-03-18 -16.925 0 -16.925 -16.925
2020-03-31 -384.855 375.5 -9.355 -9.355
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $100.78
The current status of the model is: Holding a position since 2020-03-31 00:00:00
Processing portfolio for model: EMA_027_SlowMA_50_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 302.1
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 348.71
BOUGHT QTY: 1 on 2019-06-21 00:00:00 at the price of 365.0
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-11-05 00:00:00 at the price of 289.99
SOLD QTY: -1 on 2020-03-13 00:00:00 at the price of 330.51
BOUGHT QTY: 1 on 2020-03-27 00:00:00 at the price of 359.09
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-05-14 -1 0 0 348.71 46.61
2019-06-21 1 1 365 0 0
2019-07-19 -1 0 0 323.4 -41.6
2019-11-05 1 1 289.99 0 0
2020-03-13 -1 0 0 330.51 40.52
2020-03-27 1 1 359.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-05-14 46.61 0 46.61 46.61
2019-06-21 -318.39 369.21 50.82 50.82
2019-07-19 5.01 0 5.01 5.01
2019-11-05 -284.98 288.03 3.05 3.05
2020-03-13 45.53 0 45.53 45.53
2020-03-27 -313.56 357.12 43.56 43.56
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $172.08
The current status of the model is: Holding a position since 2020-03-27 00:00:00
Processing portfolio for model: EMA_028_SlowMA_50_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 319.98
SOLD QTY: -1 on 2019-05-16 00:00:00 at the price of 356.37
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 370.27
SOLD QTY: -1 on 2019-07-19 00:00:00 at the price of 323.4
BOUGHT QTY: 1 on 2019-11-11 00:00:00 at the price of 289.16
SOLD QTY: -1 on 2020-03-16 00:00:00 at the price of 306.63
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 319.98 0 0
2019-05-16 -1 0 0 356.37 36.39
2019-06-24 1 1 370.27 0 0
2019-07-19 -1 0 0 323.4 -46.87
2019-11-11 1 1 289.16 0 0
2020-03-16 -1 0 0 306.63 17.47
2020-03-31 1 1 367.93 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -319.98 320.27 0.29 0.29
2019-05-16 36.39 0 36.39 36.39
2019-06-24 -333.88 371.04 37.16 37.16
2019-07-19 -10.48 0 -10.48 -10.48
2019-11-11 -299.64 294.18 -5.46 -5.46
2020-03-16 6.99 0 6.99 6.99
2020-03-31 -360.94 375.5 14.56 14.56
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $124.70
The current status of the model is: Holding a position since 2020-03-31 00:00:00
Processing portfolio for model: EMA_029_SlowMA_50_FastMA_15
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 317.71
SOLD QTY: -1 on 2019-05-21 00:00:00 at the price of 350.95
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-18 00:00:00 at the price of 296.0
SOLD QTY: -1 on 2020-03-17 00:00:00 at the price of 306.18
BOUGHT QTY: 1 on 2020-03-31 00:00:00 at the price of 367.93
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 317.71 0 0
2019-05-21 -1 0 0 350.95 33.24
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-18 1 1 296 0 0
2020-03-17 -1 0 0 306.18 10.18
2020-03-31 1 1 367.93 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -317.71 319.96 2.25 2.25
2019-05-21 33.24 0 33.24 33.24
2019-06-25 -337.51 360.3 22.79 22.79
2019-07-22 -25.51 0 -25.51 -25.51
2019-11-18 -321.51 302.57 -18.94 -18.94
2020-03-17 -15.33 0 -15.33 -15.33
2020-03-31 -383.26 375.5 -7.76 -7.76
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $102.38
The current status of the model is: Holding a position since 2020-03-31 00:00:00
Processing portfolio for model: EMA_030_SlowMA_50_FastMA_20
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 314.57
SOLD QTY: -1 on 2019-05-24 00:00:00 at the price of 355.41
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 370.75
SOLD QTY: -1 on 2019-07-22 00:00:00 at the price of 312.0
BOUGHT QTY: 1 on 2019-11-20 00:00:00 at the price of 301.01
SOLD QTY: -1 on 2020-03-19 00:00:00 at the price of 324.33
BOUGHT QTY: 1 on 2020-03-30 00:00:00 at the price of 363.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 314.57 0 0
2019-05-24 -1 0 0 355.41 40.84
2019-06-25 1 1 370.75 0 0
2019-07-22 -1 0 0 312 -58.75
2019-11-20 1 1 301.01 0 0
2020-03-19 -1 0 0 324.33 23.32
2020-03-30 1 1 363 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -314.57 324.66 10.09 10.09
2019-05-24 40.84 0 40.84 40.84
2019-06-25 -329.91 360.3 30.39 30.39
2019-07-22 -17.91 0 -17.91 -17.91
2019-11-20 -318.92 305.16 -13.76 -13.76
2020-03-19 5.41 0 5.41 5.41
2020-03-30 -357.59 370.96 13.37 13.37
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $128.05
The current status of the model is: Holding a position since 2020-03-30 00:00:00
In [18]:
# Display the model performance summary
performance_summary.sort_values(by=['return_value'], inplace=True, ascending=False)
print(performance_summary)
model_name return_value return_percent 22 EMA_023_SlowMA_45_FastMA_05 174.070 None 26 EMA_027_SlowMA_50_FastMA_05 172.080 None 15 EMA_016_SlowMA_35_FastMA_10 142.080 None 18 EMA_019_SlowMA_40_FastMA_05 138.140 None 19 EMA_020_SlowMA_40_FastMA_10 134.720 None 23 EMA_024_SlowMA_45_FastMA_10 134.010 None 4 EMA_005_SlowMA_20_FastMA_10 130.445 None 10 EMA_011_SlowMA_30_FastMA_05 130.124 None 9 EMA_010_SlowMA_25_FastMA_20 128.960 None 8 EMA_009_SlowMA_25_FastMA_15 128.560 None 29 EMA_030_SlowMA_50_FastMA_20 128.050 None 1 EMA_002_SlowMA_15_FastMA_05 125.590 None 27 EMA_028_SlowMA_50_FastMA_10 124.700 None 11 EMA_012_SlowMA_30_FastMA_10 120.930 None 13 EMA_014_SlowMA_30_FastMA_20 116.950 None 12 EMA_013_SlowMA_30_FastMA_15 115.200 None 14 EMA_015_SlowMA_35_FastMA_05 113.720 None 2 EMA_003_SlowMA_15_FastMA_10 113.455 None 6 EMA_007_SlowMA_25_FastMA_05 107.915 None 20 EMA_021_SlowMA_40_FastMA_15 106.950 None 24 EMA_025_SlowMA_45_FastMA_15 103.340 None 28 EMA_029_SlowMA_50_FastMA_15 102.380 None 21 EMA_022_SlowMA_40_FastMA_20 102.370 None 17 EMA_018_SlowMA_35_FastMA_20 101.380 None 25 EMA_026_SlowMA_45_FastMA_20 100.785 None 3 EMA_004_SlowMA_20_FastMA_05 97.645 None 16 EMA_017_SlowMA_35_FastMA_15 94.910 None 7 EMA_008_SlowMA_25_FastMA_10 73.320 None 5 EMA_006_SlowMA_20_FastMA_15 48.700 None 0 EMA_001_SlowMA_10_FastMA_05 24.685 None
In [19]:
# Display the transactions from the top model
top_model = performance_summary.iloc[0]['model_name']
print('The transactions from the top model %s:' % (top_model))
print(portfolio_collection[top_model][portfolio_collection[top_model].trade_action != 0])
The transactions from the top model EMA_023_SlowMA_45_FastMA_05:
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 302.1 0 0
2019-05-14 -1 0 0 348.71 46.61
2019-06-21 1 1 365 0 0
2019-07-19 -1 0 0 323.4 -41.6
2019-11-04 1 1 288 0 0
2020-03-13 -1 0 0 330.51 42.51
2020-03-27 1 1 359.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -302.1 315.34 13.24 13.24
2019-05-14 46.61 0 46.61 46.61
2019-06-21 -318.39 369.21 50.82 50.82
2019-07-19 5.01 0 5.01 5.01
2019-11-04 -282.99 292.86 9.87 9.87
2020-03-13 47.52 0 47.52 47.52
2020-03-27 -311.57 357.12 45.55 45.55
In [20]:
# Display the entry and exit signals for the top model
print('The trading signal changes from the top model %s:' % (top_model))
print(model_collection[top_model][model_collection[top_model].signal_change != 0])
The trading signal changes from the top model EMA_023_SlowMA_45_FastMA_05:
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 281.88 297.57 275.730669 274.027704 1.702965
2019-05-13 352.29 345.26 359.311786 363.147351 -3.835566
2019-06-20 365.91 365.21 358.288204 355.793544 2.494660
2019-07-18 323.76 325.21 353.858302 363.121323 -9.263021
2019-11-01 288.70 286.81 285.152431 284.890309 0.262122
2020-03-12 326.50 315.25 344.725788 355.997124 -11.271336
2020-03-26 344.00 362.99 350.341988 349.453249 0.888740
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-05-13 0.0 -1.0 0.0
2019-06-20 1.0 1.0 0.0
2019-07-18 0.0 -1.0 0.0
2019-11-01 1.0 1.0 0.0
2020-03-12 0.0 -1.0 0.0
2020-03-26 1.0 1.0 0.0
In [21]:
graph_data = model_collection[top_model].copy()
title_string = "Exponential Moving Average Crossover Model for " + top_model
fig = plt.figure(figsize=(16,9))
ylabel = stock_symbol + ' price in $'
ax1 = fig.add_subplot(111, ylabel=ylabel, title=title_string)
graph_data['fast_ma'].plot(ax=ax1, color='b', lw=2.)
graph_data['slow_ma'].plot(ax=ax1, color='r', lw=2.)
graph_data['close_price'].plot(ax=ax1, color='g')
ax1.plot(graph_data.loc[graph_data.entry_exit == 1].index, graph_data.close_price[graph_data.entry_exit == 1], '^', markersize=7, color='k',label='buy')
ax1.plot(graph_data.loc[graph_data.entry_exit == -1].index, graph_data.close_price[graph_data.entry_exit == -1], 'v', markersize=7, color='k',label='sell')
plt.legend(loc='upper left')
plt.show()
Task 5. Evaluate Performance¶
In [22]:
best_model = ''
best_return = 0
for key in portfolio_collection:
if portfolio_collection[key]['accumu_return'][-1] > best_return:
best_model = key
best_return = portfolio_collection[best_model]['accumu_return'][-1]
print('The best model found is:', best_model)
print('The best profit/loss for the investing period is: $%.2f' % (best_return))
if initial_capital != 0:
print('The best return percentage for initial capital is: %.2f%%' % (best_return / initial_capital * 100))
The best model found is: EMA_023_SlowMA_45_FastMA_05 The best profit/loss for the investing period is: $174.07
In [23]:
worst_model = None
worst_return = 0
for key in portfolio_collection:
if portfolio_collection[key]['accumu_return'][-1] < worst_return:
worst_model = key
worst_return = portfolio_collection[worst_model]['accumu_return'][-1]
print('The worst model found is:', worst_model)
print('The worst profit/loss for the investing period is: $%.2f' % (worst_return))
if initial_capital != 0:
print('The worst return percentage for the initial capital is: %.2f%%' % (worst_return / initial_capital * 100))
The worst model found is: None The worst profit/loss for the investing period is: $0.00
In [24]:
# Calculate the stock's performance for a long-only model
model_template = model_template[model_start_date:model_end_date]
print('The performance of the long-only model from day one is: $%.2f' %(model_template.iloc[-1]['close_price'] - model_template.iloc[0]['open_price']))
The performance of the long-only model from day one is: $226.36
In [25]:
print ('Total time for the script:',(datetime.now() - startTimeScript))
Total time for the script: 0:01:41.030552